Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors....

We compare the expiration-day effects of two index futures contracts, TAIEX futures and SGX TW futures, which have the same underlying spot market, but different settlement mechanisms. By taking into account other factors such as open interests and institutional traders' activities, we find that...

We confirm that investors in different categories have different trading patterns caused by attention-grabbing factors. Stocks with extreme one-day returns catch the attention of both individual and institutional investors. Individual investors are net buyers of losers whereas institutional...

This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior...