Do foreign institutions outperform in the Taiwan options market?

William T. Lin, Shih Chuan Tsai, Peter Chiu*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

摘要

This paper investigates comparative information advantage for foreign and domestic institutions on Taiwan's index options by examining the intraday information content of limit orders placed by foreign and domestic institutions, respectively. The height and length of limit order book provided by either foreign or domestic institutions exhibit predictive power on subsequent price changes in options, especially for put options. The information advantage is more significant for foreign institutions with respect to both call and put options. On the other hand, the results are mixed when order imbalance is used as the proxy of information on limit order book. Foreign institutions outperform domestic institutions for put options, not call options. Order imbalance, ignoring differential aggressiveness of limit orders, fails to capture comparative information advantage for foreign institutions. The superior information advantage for foreign institutions persists during the financial tsunami of 2008-2009 and periods of substantial price changes.

原文英語
頁(從 - 到)101-115
頁數15
期刊North American Journal of Economics and Finance
35
DOIs
出版狀態已發佈 - 2016 一月 1

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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