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Why Do Institutional Traders Trade Stock Index Futures? The Case of Stock Index Futures in Taiwan Fu

来源:湖南大学经济与管理研究中心  日期:2015-08-28 人气:

主   题:Why Do Institutional Traders Trade Stock Index Futures? The Case of Stock Index Futures in Taiwan Futures Market


主讲人:Dr. Xu Li
Assistant Professor, College of Finance and Statistics,HNU


主持人:Assistant professor  Xue Li   (CEFMS, HNU)


时   间:14:30 - 16:00, Apr,28th (Tue.), 2015.


地   点:No.2 Teaching Building, Room 203 (二教203)


摘  要:The study assesses the relative importance of superior information and hedging in institutional trading in equity index futures in the Taiwan Futures market for the sample period of January to June 2012. Our primary findings are as follows. Based on the methodology by Llorente, Michaely,Saar, and Wang (2002), we find that, for the market as a whole, significant informed trading or hedging frequently occur, and the opening minutes tend to be associated with a greater portion of trading motivated by hedging. More important to our purpose, for foreign institutions the absolute value of institutional order imbalance (purchase minus sale) tends to be greater on days when the overall market’s informed trading is greater in the cases of regular contract on Taiwan composite index futures and electronic index futures, but for the dealer and domestic fund groups trading is not significantly correlated with the overall market’s informed trading or hedging. An additional analysis of the relation between past institution trades and current returns also provides weak evidence implying institutions are informed; moreover, the evidence can also be interpreted as their trades, which account for more than half of the overall trading, having an impact on subsequent trades.