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財金系 林蒼祥 教授於
期刊論文
發佈
Do foreign institutions outperform in the Taiwan options market?
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[104-1]
：Do foreign institutions outperform in the Taiwan options market?期刊論文Do foreign institutions outperform in the Taiwan options market?William T. Lin; Shih-Chuan Tsai; Peter ChiuInstitutional investor;Limit order book;Option price;Order imbalanceThe North American Journal of Economics and Finance 35, p.101–115tThis 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 domest
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