Price Discovery and Trading Activity in Taiwan Stock and Futures Markets
學年 108
學期 1
出版(發表)日期 2020-01-01
作品名稱 Price Discovery and Trading Activity in Taiwan Stock and Futures Markets
作品名稱(其他語言)
著者 Jui-Cheng Hung, Yu-Hong Liu, I-Ming Jiang, Shuh Liang
單位
出版者
著錄名稱、卷期、頁數 Emerging Markets Finance and Trade、56(5)、Pp.963-976.
摘要 Previous studies have primarily focused on examining the trading behavior and performance of trader types, and their effects on market returns and volatilities. This study examines the influence of the trading activities on price discovery ability in Taiwan stock and futures markets. The information share approach and its modified version are adopted to analyze the contributions to price discovery between stock and futures markets. The results indicate that the stock market occasionally plays a dominant role in price discovery, whereas the futures market remains the primary contributor; however, the price discovery ability of the stock market is enhanced when the trading activity of foreign institutional traders increases. Retail traders weaken price discovery when their trading activity increases. Foreign institutional traders, the primary source of informed trades, exert positive effects on the price discovery process. Furthermore, the trading activities of foreign institutional and retail traders exert a nonlinear influence on the price discovery process. These findings suggest that the informed trading of foreign institutional traders enhances information flow and mitigates the unfavorable effect of retail traders in terms of price discovery.
關鍵字 foreign institutional traders; information share; price discovery; retail traders
語言 en
ISSN 1558-0938
期刊性質 國外
收錄於 SSCI NotTSSCI
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,電子版