| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 94 === Abstract
The study investigates whether the investors can make use of net position of large trader to predict the index movement and analyzes what kinds of traders will affect the volatility of futures prices. In order to improve the transparency of market information, and promote liquidity of the futures, trade fairness, so that the futures exchange of Taiwan consults COT (Commitments of Trader) report announced in U.S.A. Commodity Futures Trading Commission (CFTC). Mainly, there are two kinds of parts revealed in the study. (1) All goods futures’ open interest rank the top five and open interest to total counting and percentage rank the top ten trader. (2) All goods futures’ open interest rank among the top five and the top ten trader, which belongs to total counting and percentage of the open interest that the institutional investors hold. The paper analyzes whether the investors can use the information announced in futures exchange of Taiwan to judge the change of futures prices and the sources of price volatility. The methodology of vector autoregression (VAR), impulse response function, and variance decomposition are used in this paper. The results show that the Taiwan and financial futures return are influenced by institutional investors’ percent net position. The source of future returns is from small traders. As a whole, the institutional investors are information leaders, and traders are noise traders in Taiwan futures market. Investors could judge the changes of futures returns according to the change of institutional investors’ net position.
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