Have domestic institutional investors become as market savvy as foreign investors? Evidence from the Taiwan options market

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104870

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104870

Title:	Have domestic institutional investors become as market savvy as foreign investors? Evidence from the Taiwan options market
Authors:	王志瑋;Chiu, Wan-Chien;Lee, Han-Hsing;Wang, Chih-Wei
Contributors:	管理學院財務金融學系
Keywords:	Economic crisis;Emerging markets;Institutional investments;Options markets;Studies
Date:	2014-01-01
Issue Date:	2026-04-23 12:00:14 (UTC+8)
Publisher:	Portfolio Management Research;New York: Pageant Media
Abstract:	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
Appears in Collections:	[Department of Finance] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	15	View/Open

社群 sharing

Loading...