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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63760


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63760


    Title: Does Market Sentiment Affect Order Submissions and Order Imbalances? Evidence from the Stock Index Futures Markets in Taiwan
    Authors: Matthew, C.Chang;Tsai, Chih-Ling;Wu, Chung-Fern;Zhu, Ning
    Contributors: Department of Finance and Banking, Hsuan Chuang University;Graduate School of Management, University of California, Davis, Davis, California;Department of Accounting, National Taiwan University
    Keywords: Market Sentiment, Volatility Index, Market Order, Order Submissions and Imbalances, Individual and Institutional Investors
    Date: 2013
    Issue Date: 2013-08-07 09:34:15 (UTC+8)
    Publisher: Department of Finance and Banking, Hsuan Chuang University;Graduate School of Management, University of California, Davis, Davis, California;Department of Accounting, National Taiwan University
    Abstract: Using a database of Taiwan Stock Exchange Capitalization Weighted Index Futures (ticker
    symbol: TX) that allows us to identify the trader type for an order submission, we investigate the
    relationship between market sentiment and both order submissions and order imbalances, by
    trader type. We find more aggressive order submissions from individual traders during periods
    when market sentiment is highly fearful. For individual traders, the relationship between market
    sentiment and market order ratios is positive. Although the relationship between market
    sentiment and market order ratios is insignificant for institutional traders, the sample selection
    model (Heckman, 1979; Nawata, 1994; Guo and Fraser, 2010) demonstrates that institutional
    traders submit less market orders when market sentiment is fearful conditional on narrower
    spread. In addition, there is a negative relationship between positive market sentiment and
    market (limit) order imbalances. That is, when market sentiment is highly fearful, individual
    (institutional) traders submit more market (limit) sell orders. To the best of our knowledge, ours
    is the first study to empirically examine such a relationship although our findings are consistent
    with reports from practitioners and regulators that emphasize its importance (e.g. Report of the
    Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues,
    September 30, 2010). Our research indicates that regulators could better defuse periods of market
    turmoil by tying circuit breakers to an index of market sentiment, in addition to the range of a
    price decline.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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