Who has an edge in trading index derivatives?
利用某主要指数衍生品市场的交易数据，研究发现外国机构投资者获得巨额利润，而国内个人投资者亏损相近金额，且利润并非来自隔夜信息优势或流动性提供，而是源于对标的指数日内变化的全局信息优势。
Abstract 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.