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The Impacts of Large Trades by Trader Types on Intraday Futures Prices : Evidence from the Taiwan Futures Exchange

Chou, Robin K. - 2010

This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire...

Persistent link: https://www.econbiz.de/10013139181

A time series approach to testing for market linkage : unit root and cointegration tests

Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474

Persistent link: https://www.econbiz.de/10001169791

Modeling nonlinear dynamics of daily futures price changes

Gao, Andre H.; Wang, George H. K. - In: The journal of futures markets 19 (1999) 3, pp. 325-351

Persistent link: https://www.econbiz.de/10001377991

Empirical analysis of the liquidity of the S&P 500 index futures market during the October 1987 market break

Wang, George H. K. (contributor) - In: Advances in futures and options research : a research annual 4 (1990), pp. 191-218

Persistent link: https://www.econbiz.de/10001104155

An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market

Wang, George H. K. (contributor) - In: The journal of futures markets 14 (1994) 7, pp. 837-859

Persistent link: https://www.econbiz.de/10001171172

Information transmission in electronic versus open-outcry trading systems : an analysis of US equity index futures markets

Ates, Aysegul; Wang, George H. K. - In: The journal of futures markets 25 (2005) 7, pp. 679-715

Persistent link: https://www.econbiz.de/10002983492

Intraday liquidity provision by trader types in a limit order market : evidence from Taiwan index futures

Chiu, Junmao; Chung, Huimin; Wang, George H. K. - In: The journal of futures markets 34 (2014) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10010255481

The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures

Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H. K. - In: Managerial finance 38 (2012) 8, pp. 752-767

Persistent link: https://www.econbiz.de/10009568698

The impacts of large trades by trader types on intraday futures prices : evidence from the Taiwan futures exchange

Chou, Robin K.; Wang, George H. K.; Wang, Yun-Yi; … - In: Pacific-Basin finance journal 19 (2011) 1, pp. 41-70

Persistent link: https://www.econbiz.de/10009271751

Transaction tax and market quality of the Taiwan stock index futures

Chou, Robin K.; Wang, George H. K. - In: The journal of futures markets 26 (2006) 12, pp. 1195-1216

Persistent link: https://www.econbiz.de/10003392010