Price Discovery and Trading Activity in Taiwan Stock and Futures Markets

Jui Cheng Hung, Yu Hong Liu, I. Ming Jiang, Shuh Liang

研究成果: Article

1 引文 斯高帕斯(Scopus)

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.

原文English
頁(從 - 到)963-976
頁數14
期刊Emerging Markets Finance and Trade
56
發行號5
DOIs
出版狀態Published - 2020 四月 8

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

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