 Do foreign institutions outperform in the Taiwan options market?William T. Lin, Shih-Chuan Tsai and Peter Chiu The North American Journal of Economics and Finance, 2016, vol. 35, issue C, 101-115 Abstract: This paper investigates comparative information advantage for foreign and domestic institutions on Taiwan's index options by examining the intraday information content of limit orders placed by foreign and domestic institutions, respectively. The height and length of limit order book provided by either foreign or domestic institutions exhibit predictive power on subsequent price changes in options, especially for put options. The information advantage is more significant for foreign institutions with respect to both call and put options. On the other hand, the results are mixed when order imbalance is used as the proxy of information on limit order book. Foreign institutions outperform domestic institutions for put options, not call options. Order imbalance, ignoring differential aggressiveness of limit orders, fails to capture comparative information advantage for foreign institutions. The superior information advantage for foreign institutions persists during the financial tsunami of 2008–2009 and periods of substantial price changes. Keywords: Institutional investor; Limit order book; Option price; Order imbalance (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:ecofin:v:35:y:2016:i:c:p:101-115 DOI: 10.1016/j.najef.2015.10.005 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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