Who has an edge in trading index derivatives?

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Using the transaction data of a leading index derivatives market, we find that foreign institutional investors make huge profits while domestic individuals lose almost the same amount. Our empirical findings show that foreign institutional investors' profits cannot be attributed to their overnight information advantage or reward for liquidity provision. Our evidence is consistent with the hypothesis that foreign investors have superior marketwide information about intraday changes in the underlying index.
Publisher
WILEY
Issue Date
2023-03
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.43, no.3, pp.325 - 348

ISSN
0270-7314
DOI
10.1002/fut.22389
URI
http://hdl.handle.net/10203/305159
Appears in Collection
MT-Journal Papers(저널논문)
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