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| Title | The Impact of Foreign Institutional Traders on Price Efficiency: Evidence from the Taiwan Futures Market |
| Creator | 周冠男 Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih |
| Contributor | 財管系 |
| Key Words | Foreign institutional trader; Price efficiency; Order aggressiveness |
| Date | 2015-09 |
| Date Issued | 3-Nov-2015 16:57:07 (UTC+8) |
| Summary | 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 |
| Type | article |
| DOI | http://dx.doi.org/10.1016/j.pacfin.2015.05.002 |
| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男 | zh_TW |
| dc.creator (作者) | Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih | |
| dc.date (日期) | 2015-09 | |
| dc.date.accessioned | 3-Nov-2015 16:57:07 (UTC+8) | - |
| dc.date.available | 3-Nov-2015 16:57:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Nov-2015 16:57:07 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/79301 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 453954 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Pacific Basin Finance Journal,34,24-42 | |
| dc.subject (關鍵詞) | Foreign institutional trader; Price efficiency; Order aggressiveness | |
| dc.title (題名) | The Impact of Foreign Institutional Traders on Price Efficiency: Evidence from the Taiwan Futures Market | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2015.05.002 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2015.05.002 |