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| Title | Market Return, Liquidity, and Trading Activity of Various Trader Types in the Emerging Market: A Study of the TAIFEX |
| Creator | 周冠男 Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih |
| Contributor | 財管系 |
| Key Words | Domestic institutional traders ; Foreign institutional traders ; Individual traders ; Liquidity ; Order imbalance |
| Date | 2016-08 |
| Date Issued | 7-Jun-2017 11:43:05 (UTC+8) |
| Summary | Using a large data set with detailed classifications of different trader types, this study sheds further light on the trading activity of various trader types on the Taiwan futures exchange (TAIFEX). Compared with domestic traders on the TAIFEX, we find that foreign institutional traders act as contrarians. In addition, when the market becomes illiquid, foreign institutional traders are net buyers and individual traders are net sellers. The result implies that both foreign institutional traders and individual traders may contribute to the recovery of liquidity dry-ups together. Among all traders, only the order imbalance of foreign institutional investors presents return predictability when the market is illiquid, which suggests they have an information advantage in such a market. |
| Relation | Asia-Pacific Journal of Financial Studies, Vol.45, No.4, 499-534 |
| Type | article |
| DOI | http://dx.doi.org/10.1111/ajfs.12137 |
| 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) | 2016-08 | |
| dc.date.accessioned | 7-Jun-2017 11:43:05 (UTC+8) | - |
| dc.date.available | 7-Jun-2017 11:43:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Jun-2017 11:43:05 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/110215 | - |
| dc.description.abstract (摘要) | Using a large data set with detailed classifications of different trader types, this study sheds further light on the trading activity of various trader types on the Taiwan futures exchange (TAIFEX). Compared with domestic traders on the TAIFEX, we find that foreign institutional traders act as contrarians. In addition, when the market becomes illiquid, foreign institutional traders are net buyers and individual traders are net sellers. The result implies that both foreign institutional traders and individual traders may contribute to the recovery of liquidity dry-ups together. Among all traders, only the order imbalance of foreign institutional investors presents return predictability when the market is illiquid, which suggests they have an information advantage in such a market. | |
| dc.format.extent | 126 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Asia-Pacific Journal of Financial Studies, Vol.45, No.4, 499-534 | |
| dc.subject (關鍵詞) | Domestic institutional traders ; Foreign institutional traders ; Individual traders ; Liquidity ; Order imbalance | |
| dc.title (題名) | Market Return, Liquidity, and Trading Activity of Various Trader Types in the Emerging Market: A Study of the TAIFEX | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1111/ajfs.12137 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/ajfs.12137 |