The Relation between Futures Return and Trading Behavior of Individual and Institutional Investors in Taiwan Futures Market

• Main Authors: Rui-Yan Hong, 洪瑞延
• Other Authors: Yin-Feng Gau
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/69999710564550349282

碩士 === 國立中央大學 === 財務金融學系 === 101 === This paper examines the trading activity and performance of domestic individual traders, foreign institutional investors, investment trust and futures proprietary in Taiwan Futures Exchange (TAIFEX). To extract the information of futures trading activities, we construct several indicators which made by net position of traders. The empirical results indicate that the indicators of foreign institutional investors’ trading activity in this paper usually forecast price-continuations in futures prices. On the contrary, the indicators of domestic individual trading activity usually forecast price-reversals in the futures markets. When foreign institutional investors were restricted by authorities in Taiwan that can only trade futures for hedging, the indicators of foreign institutional investors still have forecasting ability. However, the forecasting ability decreased after authorities lifted the restriction. This finding is inconsistent with the hypothesis of hedging pressure effects. Finally, we find that a simple trading strategy based on peaks/troughs indicators of foreign investors and investment trust is profitable.