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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/79301

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/79301

Title:	The Impact of Foreign Institutional Traders on Price Efficiency: Evidence from the Taiwan Futures Market
Authors:	周冠男 Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih
Contributors:	財管系
Keywords:	Foreign institutional trader;Price efficiency;Order aggressiveness
Date:	2015-09
Issue Date:	2015-11-03 16:57:07 (UTC+8)
Abstract:	The literature often suggests that foreign institutional traders in emerging markets play a positive role in the information production process. Using a unique dataset from the Taiwan Futures Exchange (TAIFEX), we directly investigate the association between market price efficiency and foreign institutional trading. We find that despite a significant increase in foreign institution trading on the overall market, the informational efficiency of the market price actually deteriorates. We reconcile this surprising finding by showing that foreign institutional traders are more likely to act as market makers on the TAIFEX by submitting passive limit orders.
Relation:	Pacific Basin Finance Journal,34,24-42
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.pacfin.2015.05.002
DOI:	10.1016/j.pacfin.2015.05.002
Appears in Collections:	[財務管理學系] 期刊論文

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