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dc.contributor.authorChiu, Wan-Chienen_US
dc.contributor.authorLee, Han-Hsingen_US
dc.contributor.authorWang, Chih-Weien_US
dc.date.accessioned2014-12-08T15:36:39Z-
dc.date.available2014-12-08T15:36:39Z-
dc.date.issued2014-06-01en_US
dc.identifier.issn1074-1240en_US
dc.identifier.urihttp://hdl.handle.net/11536/24990-
dc.description.abstractPrevious empirical studies indicate that informed investors can predict future index returns. In emerging markets like Taiwan, previous research documents that only foreign institutional investors can predict next-day index returns of the host country. Unlike previous empirical results, we find that in more recent periods, the put/call ratio of domestic institutional investors shows significant predictive power for daily TAIEX returns, except during the 2008 financial crisis. In contrast, the put/call ratio of foreign institutional investors has weak predictability for the TAIEX returns prior to the severe global market downturn in late 2008. We further explore the intraday lead-lag relationship among index returns and put/call ratios of different trader types. Our results show that only the trading of domestic institutional investors possesses predictive capability for intraday TAIEX returns prior to the 2008 financial crisis. During the 2008 financial crisis, intraday TAIEX returns significantly lead option trades of foreign and domestic institutional investors, suggesting that although institutional investors closely watch and react to market fluctuations, they are unable to predict market movement beforehand.en_US
dc.language.isoen_USen_US
dc.titleHave Domestic Institutional Investors Become as Market Savvy as Foreign Investors? Evidence from the Taiwan Options Marketen_US
dc.typeArticleen_US
dc.identifier.journalJOURNAL OF DERIVATIVESen_US
dc.citation.volume21en_US
dc.citation.issue4en_US
dc.citation.spage63en_US
dc.citation.epage81en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000339782100004-
dc.citation.woscount0-
Appears in Collections:Articles