The asset ownership structure in financial markets worldwide is dominated by large institutional investors. Relative to households, institutional investors own a larger fraction of assets, have a more concentrated distribution of ownership, and have significant active and passive components. We...

The spot price on the Taiwan stock index is richer in information than the futures price judged by the price discovery measures of Gonzalo and Granger [Gonzalo, J., & Granger, C.W.J. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic...