Browsing by Author "Wang, George H. K."

Now showing 1 - 3 of 3

Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
(2012-09-01)
Chiu, Junmao
;
Chung, Huimin
;
Ho, Keng-Yu
;
Wang, George H. K.
;
資訊管理與財務金融系註：原資管所+財金所
"Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid-ask spread and a reduction in both market depth and net buying imbalance. Such findings indicate that an increase in funding liquidity can improve equity liquidity, with a stronger effect for the financial ETFs than for the index ETFs. Our study provides a better overall understanding of the effect of the liquidity-supplier funding constraint during the subprime crisis period. (C) 2012 Elsevier B.V. All rights reserved."
INTRADAY LIQUIDITY PROVISION BY TRADER TYPES IN A LIMIT ORDER MARKET: EVIDENCE FROM TAIWAN INDEX FUTURES
(2014-02-01)
Chiu, Junmao
;
Chung, Huimin
;
Wang, George H. K.
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index futures market, which is a pure limit order market. The empirical analysis obtains several interesting empirical results. We find that trader type affects liquidity provision in a number of interesting ways. First, although institutional traders use more limit orders than market orders, foreign institution (individual) traders use a relatively higher percentage of market (limit) orders in the early trading session and then switch to more limit (market) orders for the remainder of the day until close to the end of the trading day. Second, net limit order submissions by both institutional and individual traders are positively related to one-period lagged transitory volatility and negatively related to informational volatility. Third, net limit order submissions by institutional traders are positively related to one-period lagged spread. Finally, both the state of limit order book and order size significantly influence all types of traders' strategy on submission of limit order versus market order during the intraday trading session. (c) 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:145-172, 2014
Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
(2017-11-01)
Chiu, Junmao
;
Chung, Huimin
;
Wang, George H. K.
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non-day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest-of-the-order-book activities affect traders' order submission decisions. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094-1123, 2017