Trading Price Strategies and Advantages of Institutional and Individual Investors：Evidence from the Taiwan Stock Market
碩士 === 國立東華大學 === 國際經濟研究所 === 94 === We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks. Using Taiwanese data and following the methodology, proposed by Choe, Kho, and Stulz (2004), firstly, we find that foreign investors pay more than domestic i...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29993565858750645782 |
| Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 94 === We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks. Using Taiwanese data and following the methodology, proposed by Choe, Kho, and Stulz (2004), firstly, we find that foreign investors pay more than domestic investors when they buy and receive less when they sell for large trades. Secondly, foreign investors do worse trading stocks with greater information asymmetries and less liquidity. Thirdly, the examination of order-level data shows that they trade more on intra-day momentum than domestic investors.
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