Market uncertainty and market orders in futures markets

文化大學機構典藏 CCUR > 商學院 > 企業管理學系暨國際企業管理研究所 > 期刊論文 > Item 987654321/41856

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题名:	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)
贡献者:	國企系
关键词:	SELECTION BIAS STOCK INVESTORS EXCHANGE DYNAMICS BEHAVIOR TRADES
日期:	2018-08
上传时间:	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.
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