FUTURES PRICE MOVEMENTS AND ORDER IMBALANCES AMONG VARIOUS CLASSES OF TRADERS: EVIDENCE FROM THE TAIWAN FUTURES EXCHANGE

10.6292/AFPF.202212_(10).0008

Wen-Ju Liao；Yin-Feng Gau；Yu-Lun Chen

Order Imbalance ； Stock Index Futures ； Foreign Institutional Traders ； Individual Traders ； Futures Proprietary Firms

Advances in Financial Planning and Forecasting

10期（2022 / 12 / 01）

197 - 210

英文

We use quantile regression models to analyze the intradaily relation between returns and the trading of institutional and individual traders in the Taiwan Futures Exchange. Using the unique account-level data from the Taiwan Futures Exchange, our analysis reveals the impacts of order imbalances by trader type on returns are different when returns are at upper and lower quantiles. We find that individual traders' order imbalances affect returns in the short run and with a larger magnitude than the three categories of institutional traders, namely domestic institutional traders, domestic institutional traders, and futures proprietary firms.

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