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    篇名/題名:The Impact of Foreign Trading Information on Emerging Futures Markets: A Study of Taiwan’s unique data set
    摘要:Using a unique dataset from the Taiwan Futures Exchange, this paper investigates whether trading imbalances by foreign investors affect emerging Taiwan futures market in terms of returns and volatility. First, this evidence demonstrates a positive relation between contemporaneous futures returns and net purchases by foreign investors when other market factor effects are controlled. Second, this failure to detect price reversals is inconsistent with the price pressure hypothesis. Third, foreign investors do not exhibit positive feedback trading patterns. Fourth, a bi-directional Granger-causality relationship exists between futures volatility and foreign trading flows. As found for other stock or foreign exchange markets, our empirical results demonstrate that foreign trading flows do have impacts on the return and volatility of developing futures market, suggesting that trading by foreign investors may enhance the information flow of the local futures market.
    類型:期刊論文
    西元出版年:2007
    著作語言:zh-TW
    作者:Kuo,Wen Hsiu、Lin,Ching Chung、Hsu,Liu Hsiang
    學校系所:財務金融系