Market Transparency and Order Imbalance：Evidences from Taiwan Index Futures and Taiwan Index Options

• Main Authors: Chan, Chi-Hung, 詹啟宏
• Other Authors: Chung, Hui-Ming
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/83947481475889199185

碩士 === 國立交通大學 === 財務金融研究所 === 101 === The basic assumption in this study is that asymmetric information is viewed as the cause of order imbalances in the futures market and the options market. In order to improve asymmetry and enhance the quality of market, Taiwan Futures Exchange (TAIFEX) has required institutional investors to disclose their daylong trading positions since April 7th, 2008. The effects of the market transparency on the order imbalances for the investors as a whole and for specific types of investors was respectively investigated in this study, using the historical intraday tick by tick data on TAIEX Futures (TXF) and TAIEX Options (TXO). Empirical results provide evidences that the market transparency does improve the order imbalances for the investors as a whole, but this relationship may not be consistent among different types of investors. These findings suggest that although the disclosure may improve the asymmetry, illiquidity, and order imbalances for the investors as a whole, the improvement of the order imbalances for a specific type of investors depends on investors’ nature and trading style.