Price discovery and price leadership of various investor types: evidence from Taiwan futures markets

被引:6
作者
Chen, Wei-Kuang [1 ,2 ]
Lin, Ching-Ting [1 ]
Shiu, Cheng-Yi [3 ]
机构
[1] Natl Chengchi Univ, Dept Money & Banking, 64,Sec 2,Zhi Nan Rd, Taipei 11605, Taiwan
[2] Natl Chengchi Univ, Risk & Insurance Res Ctr, 64,Sec 2,Zhi Nan Rd, Taipei 11605, Taiwan
[3] Natl Cent Univ, Coll Management, Dept Finance, 300 Zhong Da Rd, Taoyuan 32001, Taiwan
关键词
Price discovery; Price leadership; Herding; Foreigners; Information role; FOREIGN INSTITUTIONAL INVESTORS; INDIVIDUAL INVESTORS; DOMESTIC INVESTORS; PERFORMANCE; IMPACT; STRATEGIES; EXPERIENCE; OWNERSHIP; BEHAVIOR; RETURNS;
D O I
10.1007/s11156-018-0760-3
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Using a unique dataset composed of comprehensive transaction data from Taiwan futures markets, we are able to unambiguously classify all investors into individuals, domestic institutions, and foreigners, and examine the price discovery and price leadership for these three groups. We find that, despite the relatively low trading volume of futures contracts by foreigners, such trades make a significant contribution to price discovery, particularly on the market index futures. Moreover, intraday analysis shows that foreigners' correlated trades can positively predict concurrent and future price movements of futures contracts. After controlling for the momentum effect, the finding is robust that foreigners exhibit superior return predictability than domestic institutions and individuals. The empirical result indicates that foreigners have an information advantage in Taiwan futures markets. In contrast to foreigners, individuals make the least contribution to price discovery and their correlated trades negatively predict the following price movements, suggesting that individuals have an information disadvantage.
引用
收藏
页码:601 / 631
页数:31
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