Full metadata record
DC FieldValueLanguage
dc.contributor.authorChiu, Junmaoen_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorWang, George H. K.en_US
dc.date.accessioned2014-12-08T15:34:17Z-
dc.date.available2014-12-08T15:34:17Z-
dc.date.issued2014-02-01en_US
dc.identifier.issn0270-7314en_US
dc.identifier.urihttp://dx.doi.org/10.1002/fut.21586en_US
dc.identifier.urihttp://hdl.handle.net/11536/23494-
dc.description.abstractThis 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, 2014en_US
dc.language.isoen_USen_US
dc.titleINTRADAY LIQUIDITY PROVISION BY TRADER TYPES IN A LIMIT ORDER MARKET: EVIDENCE FROM TAIWAN INDEX FUTURESen_US
dc.typeArticleen_US
dc.identifier.doi10.1002/fut.21586en_US
dc.identifier.journalJOURNAL OF FUTURES MARKETSen_US
dc.citation.volume34en_US
dc.citation.issue2en_US
dc.citation.spage145en_US
dc.citation.epage172en_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:000329197400003-
dc.citation.woscount1-
Appears in Collections:Articles


Files in This Item:

  1. 000329197400003.pdf