The Investment Performance Analysis for Futures Markets under Dominant Intervention and Recessive Intervention

• Main Authors: Yu-hsin Chen, 陳育欣
• Other Authors: Yen-sen Ni
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/47871498171505336561

碩士 === 淡江大學 === 管理科學研究所企業經營碩士在職專班 === 98 === This study uses the 2006-2007 intraday data of TAIEX futures to analyze the investment performance by influential traders such as domestic or foreign financial institution by dominant intervention and recessive intervention investment strategies. This study defines several dominant interventions and recessive interventions by observing variation of TAIEX futures prices within 3 minutes, establishes 3 dominant intervention strategies and 2 recessive intervention strategies, and set 3 kinds of closing open interest strategies before closing time of futures markets per day. In addition, one unwinding strategy is set to observe if there exists contrast phenomenon with other strategies in order to make sure the reliable empirical results of this study. By testing 36 hypotheses proposed by this research, we find while adopting some certain dominant intervention or recessive intervention with following trend, it is possible to make profits by employing these strategies. Besides, the above intervention are outperform than unwinding strategies, since nearly zero sum game are shown by adopting unwinding strategies. The empirical results find different interventions in different conditions show different results. The meanings between dominant intervention and recessive intervention are also different, and the upside trend and downside trend of futures markets will affects the later performance of dominant intervention or recessive intervention. Thus, we should take different intervention strategies trading and different closing open interest strategies under different situations. In other words, investors should not trade blindly while the signals of dominant intervention or recessive intervention are shown. It means traders should make sure what kind of intervention carefully in order to lift up the opportunities of making profits in futures markets.