教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Do foreign institutions outperform in the Taiwan options market?
學年104
學期1
出版(發表)日期2015/11/04
作品名稱Do foreign institutions outperform in the Taiwan options market?
作品名稱(其他語言)
著者William T. Lin; Shih-Chuan Tsai; Peter Chiu
單位
出版者
著錄名稱、卷期、頁數The North American Journal of Economics and Finance 35, pp.101–115
摘要tThis paper investigates comparative information advantage forforeign and domestic institutions on Taiwan’s index options byexamining the intraday information content of limit orders placedby foreign and domestic institutions, respectively. The height andlength of limit order book provided by either foreign or domesticinstitutions exhibit predictive power on subsequent price changesin options, especially for put options. The information advantageis more significant for foreign institutions with respect to bothcall and put options. On the other hand, the results are mixedwhen order imbalance is used as the proxy of information onlimit order book. Foreign institutions outperform domestic insti-tutions for put options, not call options. Order imbalance, ignoringdifferential aggressiveness of limit orders, fails to capture compar-ative information advantage for foreign institutions. The superiorinformation advantage for foreign institutions persists during thefinancial tsunami of 2008–2009 and periods of substantial pricechanges.
關鍵字Institutional investor;Limit order book;Option price;Order imbalance
語言英文
ISSN1062-9408
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Shih-Chuan Tsai
審稿制度
國別荷蘭
公開徵稿
出版型式,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!