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Do foreign institutional traders have private information for the market index? : the aspect of market microstructure
Weng, Pei-Shih; Tsai, Wei-Che - In: International review of economics & finance : IREF 55 (2018), pp. 308-323
Persistent link: https://www.econbiz.de/10012033488
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Do Foreign Institutional Traders Have Private Information for the Market Index?
Weng, Pei-Shih - 2017
We investigate whether foreign institutional investors possess private information in index futures trading based upon six-year market index futures transaction data on the Taiwan Futures Exchange (TAIFEX). According to the French and Roll (1986) ‘decomposition of price formation', our...
Persistent link: https://www.econbiz.de/10012957356
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Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan
Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013266271