標題: INTRADAY LIQUIDITY PROVISION BY TRADER TYPES IN A LIMIT ORDER MARKET: EVIDENCE FROM TAIWAN INDEX FUTURES
作者: 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
公開日期: 1-Feb-2014
摘要: 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
URI: http://dx.doi.org/10.1002/fut.21586
http://hdl.handle.net/11536/23494
ISSN: 0270-7314
DOI: 10.1002/fut.21586
期刊: JOURNAL OF FUTURES MARKETS
Volume: 34
Issue: 2
起始頁: 145
結束頁: 172
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