期刊論文
| 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, p.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 | en |
| ISSN | 1062-9408 |
| 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 | 否 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108306 ) |