| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === The paper conduct the Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on Futures investors of TAIFEX Futures(TXF) and Mini-TAIFEX Futures(MTF) in Taiwan. The data divides into all investors, domestic institutional investors, foreign institution investors and individual investors. This paper conducts an analysis of trading volumes, return, and selling pressures of Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on different investors. Finally, this paper also examines the impact of trading volumes and selling pressures on the returns.
The result shows that Day-of-the-Week effect exists in returns and trading volumes, but different investors’ trading volumes don’t exists Day-of-the-Week effect. The selling pressures exists Day-of-the-Week effect of domestic institutional investors and foreign institutional investors in TXF and individual investors in MTF. Intraday effect exists in return and trading volumes, and all of the different investors have intraday effect. Intraday-Day-of-the-Week effect exists in returns, trading volumes and selling pressures in some of the intervals. The impact of trading volumes on return shows that there have significant exist from Monday to Wednesday. Finally, the impact of selling pressures on returns shows domestic institutional investors and foreign institutional investors have significant different.
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