An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange. Issue 9 (22nd December 2016)

• Record Type: Journal Article
• Authors: Weng, Pei‐Shih; Wu, Ming‐Hung; Chen, Miao‐Ling; Tsai, Wei‐Che
• Is Part Of: Journal of futures markets. Volume 37:Issue 9(2017)
• Page Start: 865
• Page End: 891
• Publication Date: 2016-12-22
• Subjects: Commodity exchanges -- Periodicals; Foreign exchange futures -- Periodicals; 332.632
• DOI: 10.1002/fut.21830
• Languages: English
• ISSNs: 0270-7314

Abstract

Abstract : 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. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:865–891, 2017