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The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange

✍ Scribed by Wen-Ming Szu; Ming-Chun Wang; Wan-Ru Yang

Book ID
113664465
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
631 KB
Volume
20
Category
Article
ISSN
1059-0560

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## Abstract We investigate the strategic order‐splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional trader