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

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/127919

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题名:	Price discovery and price leadership of various investor types: Evidence from Taiwan futures markets
作者:	林靖庭;徐政義 Lin, Ching-Ting;Chen, Wei-Kuang;Shiu, Cheng-Yi
贡献者:	金融系
关键词:	Price discovery; Price leadership; Herding Foreigners; Information role
日期:	2019-08
上传时间:	2019-12-19 14:39:05 (UTC+8)
摘要:	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.
關聯:	Review of Quantitative Finance and Accounting, Vol.53, No.2, pp.601–631
数据类型:	article
DOI 連結:	https://doi.org/10.1007/s11156-018-0760-3
DOI:	10.1007/s11156-018-0760-3
显示于类别:	[金融學系] 期刊論文

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