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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/62433

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題名:	The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange
作者:	周冠男;Wang, George H. K.;王韻怡;Bjursell, Johan Robin K. Chou;Wang, George H. K.;Wang, Yun-Yi;Bjursell, Johan
貢獻者:	政大財管系
關鍵詞:	Large trades;Trader types;Total price effects;Liquidity effects;Information effects;Futures price behavior
日期:	2011-01
上傳時間:	2013-12-12 17:12:04 (UTC+8)
摘要:	This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire sample period, most buyer-initiated large trades have larger permanent price effects than seller-initiated large trades and vice versa for liquidity effects. However, we find that the permanent price effects of large sells are larger than the effects of large purchases in bearish markets and the reverse pattern is found for bullish markets. These results are consistent with the current economic condition hypothesis which is used to explain the asymmetry between total price impacts, information and liquidity effects of large buys and sells. Our new empirical results demonstrate that the asymmetric patterns between price impacts of large buys and sells hold for individual traders as well as for institutional traders.
關聯:	Pacific-Basin Finance Journal, 19(1), 41-70
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.pacfin.2010.08.003
DOI:	10.1016/j.pacfin.2010.08.003
顯示於類別:	[財務管理學系] 期刊論文

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