政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/127919

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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/127919

Title:	Price discovery and price leadership of various investor types: Evidence from Taiwan futures markets
Authors:	林靖庭;徐政義 Lin, Ching-Ting;Chen, Wei-Kuang;Shiu, Cheng-Yi
Contributors:	金融系
Keywords:	Price discovery; Price leadership; Herding Foreigners; Information role
Date:	2019-08
Issue Date:	2019-12-19 14:39:05 (UTC+8)
Abstract:	Using a unique dataset composed of comprehensive transaction data from Taiwan futures markets, we are able to unambiguously classify all investors into individuals, domestic institutions, and foreigners, and examine the price discovery and price leadership for these three groups. We find that, despite the relatively low trading volume of futures contracts by foreigners, such trades make a significant contribution to price discovery, particularly on the market index futures. Moreover, intraday analysis shows that foreigners’ correlated trades can positively predict concurrent and future price movements of futures contracts. After controlling for the momentum effect, the finding is robust that foreigners exhibit superior return predictability than domestic institutions and individuals. The empirical result indicates that foreigners have an information advantage in Taiwan futures markets. In contrast to foreigners, individuals make the least contribution to price discovery and their correlated trades negatively predict the following price movements, suggesting that individuals have an information disadvantage.
Relation:	Review of Quantitative Finance and Accounting, Vol.53, No.2, pp.601–631
Data Type:	article
DOI 連結:	https://doi.org/10.1007/s11156-018-0760-3
DOI:	10.1007/s11156-018-0760-3
Appears in Collections:	[金融學系] 期刊論文

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