An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange

作者：Weng Pei Shih; Wu Ming Hung; Chen Miao Ling; Tsai Wei Che^*

来源：Journal of Futures Markets, 2017, 37(9): 865-891.

DOI：10.1002/fut.21830

Based upon a unique dataset of institutional transactions in the Taiwan index futures market, we analyze the informational role of institutional investors using the "dynamic probability of informed trading" (DPIN). Compared to "trading imbalances" (TIB) and the "volume-synchronized probability of informed trading" (VPIN), we show that the DPIN of foreign institutional investors outperforms the alternative measures and provides more stable effects in measuring informed trading. Following the strategies highlighted by DPIN, foreign institutional investors also perform better than domestic institutional investors. Our results support the validity of DPIN and present that foreign institutional investors are more informed.

• 出版日期2017-9
• 单位中山大学; 东华大学