| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男 | |
| dc.creator (作者) | Chou, Robin K. | |
| dc.creator (作者) | Chang, Ya-Kai | |
| dc.date (日期) | 2022-07 | |
| dc.date.accessioned | 20-Oct-2022 16:05:57 (UTC+8) | - |
| dc.date.available | 20-Oct-2022 16:05:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 20-Oct-2022 16:05:57 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/142448 | - |
| dc.description.abstract (摘要) | This study examines the effects of different algorithmic traders on market quality and the price discovery process, considering the impact of different trading strategies and market conditions. Algorithmic foreign institutions and proprietary firms act strategically, by monitoring market conditions. During stable market conditions, they supply liquidity, and this strategic activity both improves price efficiency and increases fundamental volatility. In more turbulent market conditions, algorithmic foreign institutions and proprietary firms instead demand liquidity, and their trading activity leads to an increase in price efficiency and a decrease in excessive volatility. Overall, algorithmic trades do not harm market quality. | |
| dc.format.extent | 97 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Futures Markets, 42(10), pp.1837-1855 | |
| dc.subject (關鍵詞) | algorithmic trading; market quality; price discovery; trading activity | |
| dc.title (題名) | Algorithmic trading and market quality: Evidence from the Taiwan index futures market | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.22362 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.22362 | |
