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    Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/48824


    Title: Price Discovery and Trading Activity in Taiwan Stock and Futures Markets
    Authors: Hung, JC (Hung, Jui-Cheng)
    Liu, YH (Liu, Yu-Hong)
    Jiang, IM (Jiang, I-Ming)
    Liang, S (Liang, Shuh)
    Contributors: 財金系
    Keywords: foreign institutional traders
    information share
    price discovery
    retail traders
    Date: 2020-04-08
    Issue Date: 2020-11-12 09:59:19 (UTC+8)
    Abstract: 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.
    Relation: EMERGING MARKETS FINANCE AND TRADE 卷冊: 56 期: 5 頁數: 963-976 特刊: SI
    Appears in Collections:[Department of Banking & Finance ] periodical articles

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