English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94586/125118 (76%)
Visitors : 30534224      Online Users : 286
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/127919
    Please use this identifier to cite or link to this item: http://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
    Lin, Ching-Ting
    Chen, Wei-Kuang
    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

    Files in This Item:

    File Description SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback