 The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan Futures ExchangeRobin K. Chou, George H.K. Wang, Yun-Yi Wang and Johan Bjursell Pacific-Basin Finance Journal, 2011, vol. 19, issue 1, 41-70 Abstract: This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire sample period, most buyer-initiated large trades have larger permanent price effects than seller-initiated large trades and vice versa for liquidity effects. However, we find that the permanent price effects of large sells are larger than the effects of large purchases in bearish markets and the reverse pattern is found for bullish markets. These results are consistent with the current economic condition hypothesis which is used to explain the asymmetry between total price impacts, information and liquidity effects of large buys and sells. Our new empirical results demonstrate that the asymmetric patterns between price impacts of large buys and sells hold for individual traders as well as for institutional traders. Keywords: Large; trades; Trader; types; Total; price; effects; Liquidity; effects; Information; effects; Futures; price; behavior (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:19:y:2011:i:1:p:41-70 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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