頁籤選單縮合
題 名 | The Dynamics of Individual and Institutional Trading in the TAIEX Futures Markets |
---|---|
作 者 | Lin, Mei-chen; | 書刊名 | International Journal of Electronic Business Management |
卷 期 | 8:4 2010.12[民99.12] |
頁 次 | 頁247-254 |
分類號 | 563.54 |
關鍵詞 | Individual investors; Institutional investors; Positive feedback traders; Contrarians JEL classification: G0, G1; |
語 文 | 英文(English) |
英文摘要 | This study investigates the daily dynamic relation between returns and institutional and individual trades in the TAIEX futures market. I find that both past individual and institutional buys and sells have no predictive power for index returns; both individual and institutional trading activities are strongly related to their own past trades, and individual open-buy trading is also influenced by institutional open-buy trading, and vice versa. However, this does not occur in terms of open-sell trading. In the context of close trading, individual prior close-buy leads to institutional close-buy trading; on the contrary, institutional close-sell affects individual close-sell trading. Individual investors are contrarians, but institutional investors are positive feedback traders. Finally, the average return of each contract for individuals is negative but institutions have positive returns, suggesting that individual investors are less-informed. But individual trading activity is more aggressive for their higher proportions of market order and shorter holding time of a round trade. |
本系統中英文摘要資訊取自各篇刊載內容。