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題名 The Impact of Foreign Institutional Traders on Price Efficiency: Evidence from the Taiwan Futures Market
作者 周冠男
Hao, Ying;Chou, Robin K.;Ho, Keng-Yu;Weng, Pei-Shih
貢獻者 財管系
關鍵詞 Foreign institutional trader; Price efficiency; Order aggressiveness
日期 2015-09
上傳時間 3-Nov-2015 16:57:07 (UTC+8)
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.
關聯 Pacific Basin Finance Journal,34,24-42
資料類型 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) articleen
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