Market uncertainty and market orders in futures markets

CCUR > College of Business > Department of Business Administration & Graduate Institute of International Business Administration > periodical articles > Item 987654321/41856

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題名:	Market uncertainty and market orders in futures markets
作者:	Chang, MC (Chang, Matthew C.) Tsai, CL (Tsai, Chih-Ling) Wu, RCF (Wu, Rebecca Chung-Fern) Zhu, N (Zhu, Ning)
貢獻者:	國企系
關鍵詞:	SELECTION BIAS STOCK INVESTORS EXCHANGE DYNAMICS BEHAVIOR TRADES
日期:	2018-08
上傳時間:	2019-01-17 11:56:54 (UTC+8)
摘要:	In this paper, we employ a unique dataset from Taiwan to investigate the order type choices made by individual and institutional investors over periods of high market uncertainty. Our studies show that individuals change their behavior during periods of high market uncertainty by submitting more market orders and sell orders. In contrast, institutions are less influenced by market uncertainty. Institutional trades can alleviate, but not reverse, this increase in individuals' market orders during periods of high market uncertainty. These findings suggest that the composition of investor clientele plays an important role in understanding asset returns and volatility in emerging markets.
顯示於類別:	[Department of Business Administration & Graduate Institute of International Business Administration ] periodical articles

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