The empirical study of singals from reportable positions in Taiwan’s future markets.

• Main Authors: Pin-Yu Chen, 陳斌宇
• Other Authors: Gin-Chung, Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/15516655345488602609

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This research applies the directional trading volume concept of the EOS Theory（1988）to exam the direction assumptions of the model under different types of traders. The empirical results are listed below: 1. The trading volume and open interests of non-specific institutional investors are negatively correlated with the underlying assets prices movements, which is inconsistent with the directional hypotheses of EOS model. 2. The futures trading activities of all types of traders are significant in forecasting futures prices movement, which rejects the separate equilibrium hypotheses. 3. The trading volume and open interests of non-specific institution investors are negatively correlated with the directional prices forecasting, which is inconsistent with the direction hypotheses of EOS, indicating the long-term and short-term trading of non-specific institution investors are inverse market indicators. 4. On the contrary, the trading volume and open interests of specific institution investors are positively correlated with the direction of futures prices forecasting