政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110215

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/110215

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110215

Title:	Market Return, Liquidity, and Trading Activity of Various Trader Types in the Emerging Market: A Study of the TAIFEX
Authors:	周冠男 Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih
Contributors:	財管系
Keywords:	Domestic institutional traders;Foreign institutional traders;Individual traders;Liquidity;Order imbalance
Date:	2016-08
Issue Date:	2017-06-07 11:43:05 (UTC+8)
Abstract:	Using a large data set with detailed classifications of different trader types, this study sheds further light on the trading activity of various trader types on the Taiwan futures exchange (TAIFEX). Compared with domestic traders on the TAIFEX, we find that foreign institutional traders act as contrarians. In addition, when the market becomes illiquid, foreign institutional traders are net buyers and individual traders are net sellers. The result implies that both foreign institutional traders and individual traders may contribute to the recovery of liquidity dry-ups together. Among all traders, only the order imbalance of foreign institutional investors presents return predictability when the market is illiquid, which suggests they have an information advantage in such a market.
Relation:	Asia-Pacific Journal of Financial Studies, Vol.45, No.4, 499-534
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/ajfs.12137
DOI:	10.1111/ajfs.12137
Appears in Collections:	[財務管理學系] 期刊論文

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