Portfolio Management Research;New York: Pageant Media
摘要:
摘要： Previous 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. [PUBLICATION ABSTRACT] 出版者： New York: Pageant Media 出版日期： 2014-07-01 出處： The Journal of derivatives, 2014-07, Vol.21 (4), p.63-81 資源來源： Accounting, Tax & Banking Collection 版權： Copyright Euromoney Institutional Investor PLC Summer 2014 識別號： ISSN: 1074-1240 識別號： EISSN: 2168-8524 識別號： DOI: 10.3905/jod.2014.21.4.063
