| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 98 === This paper investigates whether the 2008 financial crisis changed the trading behavior of institutional investors between stock and futures market. We use the transaction amount data of Taiwan stock market, TAIEX Futures, and Mini-TAIEX Futures trading by foreigner investors, dealers, and investment trust companies from July 1, 2007 to December 31, 2009. To study the relationship among these financial instruments, we use the vector autoregression (VAR) model and Granger causality test. The empirical results are (i) we find evidence of causality (including bi-directional and two-way) between net purchase of stocks and futures, especially for dealers; (ii) the four factors (purchase of futures, purchase of stocks, sale of futures, and sale of stocks) exist two-way causality during certain periods, and it may be caused by the arbitrage strategy of institutional investors or the intervention of our government; (iii) net purchase leads return, but the effect is weak in the crisis; and (iv) regardless of stocks or futures, return leads net purchase. This finding suggests that institutional investors trade stocks and futures based on the changes of return, and there exists feedback trading.
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