A Study of Institutional Investors’ Price-Fixing Model

• Main Authors: Yi-Min Chiang, 江逸民
• Other Authors: Yale Wang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/81070129622766169646

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 101 === In recent years, Taiwan derivative instruments are fast developing. Appling Vector Autoregressive Model analysis, this study investigates whether Institutional Investors in Taiwan use derivative instruments transactions to manipulate TAIEX spot prices or simply hedge the risk. Twelve variables of weekly transaction data of futures and options markets from July 5, 2007 to December 26, 2012 are used as the sample of empirical study. Results show that Investment Trusts are likely to use derivatives as instruments for hedge, whereas Dealers and Foreign Capital trend to behavior herding together. In addition, evidence show that Foreign Capitals manipulate spot prices in order to make the profit of their derivatives positions come true.