碩士 / 淡江大學 / 財務金融學系碩士在職專班 / 99 / This paper use high frequency intraday data to discuss the relationship between trading behavior and price return of four kinds of investor: individual investors, foreign investors, domestic institutional investors and futures dealers in Taiwan futures market. We reconstruct the complete display data of Taiwan index futures contracts by using the “entrust”, “transaction” and “display” data from TAIFEX and use “declaration of bankruptcy by Lehman Brothers” as event day to analysis the information content of investors’ trading behavior in the period of financial crisis.
The empirical result indicates that the order imbalance of foreign investors, domestic institutional investors and futures dealers have a positive price impact, means that these three kinds of investors have information advantage. The domestic institutional investors have short term information advantage before the event day. After the event day, investors only with long term information advantage have positive price impact.
| Identifer | oai:union.ndltd.org:TW/099TKU05304022 |
| Date | January 2011 |
| Creators | Shih-Hao Liu, 劉士豪 |
| Contributors | 林蒼祥 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 68 |
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