Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns

Lai, Hung-Cheng; Wang, Kuan-Min

doi:10.1016/j.econmod.2014.05.007

Cited by 12 publications

(7 citation statements)

References 21 publications

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“…, 2007; Kurov, 2008; Salm and Schuppli, 2010; Antoniou et al. , 2011; Lai and Wang, 2014, 2015; Smales, 2016; Chen and Yang, 2021) confirming empirically the significance of (predominantly, positive) feedback trading in that segment [83]. At the macro level, positive feedback traders often appear more active in index futures during market slumps (likely due to index futures being utilized for portfolio insurance – Salm and Schuppli, 2010; Antoniou et al.…”

Section: Empirical Evidencementioning

confidence: 59%

“…In the case of Taiwan, earlier evidence by Cheng et al. (2007) suggested that positive feedback trading in index futures was confined to retail traders and dealers at the weekly frequency during 2001–2002, with no other trader-type found to feedback trade; later evidence (Lai and Wang, 2014, 2015), however, denotes that foreign investors (investment trusts) negative (positive) feedback traded during the 2008–2013 window at the daily frequency. Finally, with respect to South Korea, Ghysels and Seon (2005) found that foreign and domestic institutional (domestic institutional and retail) investors positive (negative) feedback traded in the futures market at the daily frequency prior to the outbreak of (during) the Asian crisis in 1997.…”

Section: Empirical Evidencementioning

confidence: 99%

See 1 more Smart Citation

Feedback trading: a review of theory and empirical evidence

Economou

Gavriilidis

Gębka

et al. 2022

RBF

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PurposeThe purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors' feedback trading, one of the most popular trading patterns observed historically in financial markets. Specifically, the authors aim to synthesize the diverse theoretical approaches to feedback trading in order to provide a detailed discussion of its various determinants, and to systematically review the empirical literature across various asset classes to gauge whether their feedback trading entails discernible patterns and the determinants that motivate them.Design/methodology/approachGiven the high degree of heterogeneity of both theoretical and empirical approaches, the authors adopt a semi-systematic type of approach to review the feedback trading literature, inspired by the RAMESES protocol for meta-narrative reviews. The final sample consists of 243 papers covering diverse asset classes, investor types and geographies.FindingsThe authors find feedback trading to be very widely observed over time and across markets internationally. Institutional investors engage in feedback trading in a herd-like manner, and most noticeably in small domestic stocks and emerging markets. Regulatory changes and financial crises affect the intensity of their feedback trades. Retail investors are mostly contrarian and underperform their institutional counterparts, while the latter's trades can be often motivated by market sentiment.Originality/valueThe authors provide a detailed overview of various possible theoretical determinants, both behavioural and non-behavioural, of feedback trading, as well as a comprehensive overview and synthesis of the empirical literature. The authors also propose a series of possible directions for future research.

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Section: Empirical Evidencementioning

confidence: 59%

Section: Empirical Evidencementioning

confidence: 99%

Feedback trading: a review of theory and empirical evidence

Economou

Gavriilidis

Gębka

et al. 2022

RBF

View full text Add to dashboard Cite

show abstract

“…In addition, Lai and Wang (2014) found that net trading volumes by foreign investors and investment trusts have the forecasting power for futures returns. Kaur and Dhillon (2010) concluded that the investment performance of Qualified Foreign Institutional Investors' (QFIIs') high holdings stocks is significantly better than that of QFIIs' low holdings stocks, which indicates that QFIIs' trading behavior has generated better returns and portfolio performance due to the full liberalization of stock markets.…”

Section: Institutional Investorsmentioning

confidence: 99%

Does “Resetting” by Changing Corporate Name or Industry Category Appeals to Institutional Investments?

Huang¹,

Cheng

2020

CMR

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We investigate whether firms changing their names or industry categories once and more than once would affect institutional shareholdings. By utilizing 5,733 observations of the Taiwan Stock Exchange listed firms, we apply multiple regression models firstly and Petersen regression models for further investigation to enhance the robustness of the empirical results. We then disclose several important findings as follows. First, institutional investors might not prefer holding the shares of the firms changing their names more than once. We infer that the performances of the firms changing names more than once might be doubtful. Second, institutional investors might decrease the shareholdings of the firms with industry categories changed. We claim that institutional investors might suspect these firms probably existing corporate governance issues. Besides, we argue that, to our best understanding, this study might fill the gap in the existing literature due to that the issues, firms changing their names or industry categories once or more than once, seem rarely explored in the relevant studies.

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“…Meanwhile, some studies have also investigated the relationships between different traders and the returns on futures in the Taiwan futures market. Lai and Wang (2014) used trading data on Taiwan stock index futures contracts obtained directly from the TAIFEX. They pointed out that foreign investors have the ability to forecast futures returns.…”

Section: The Impact Of Different Types Of Investors On Financial Marketsmentioning

confidence: 99%

Informed Trading of Futures Markets During the Financial Crisis: Evidence from the VPIN

Lee¹,

Liu

Hsieh³

2017

IJEF

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This paper examines the impact of informed trading on futures returns during the 2008-2009 financial crisis. To precisely capture the informed trading in the highly volatile market during this period, we adopt the Volume-Synchronized Probability of Informed Trading (VPIN) of Easley, Hvidkjaer and O'Hara (2012) as our main measurement for informed trading. Besides, we also use a unique transaction dataset with investor identity to classify investors into domestic and foreign institutional investors, which the foreign institutional investors are supposed to be characterized by a higher degree of informed trading. Our empirical results show that the VPIN of foreign institutional investors has indeed significantly positive impacts on futures returns at the individual level. By contrast, the effect of the VPIN of domestic institutional investors on futures returns is only significant on Wednesdays, which could be seen as a special kind of day-of-the-week effect.

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Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns

Cited by 12 publications

References 21 publications

Feedback trading: a review of theory and empirical evidence

Feedback trading: a review of theory and empirical evidence

Does “Resetting” by Changing Corporate Name or Industry Category Appeals to Institutional Investments?

Informed Trading of Futures Markets During the Financial Crisis: Evidence from the VPIN

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