| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 101 === This paper investigates into whether futures commission merchants’ discretionary account operation will perform better with program trading. We take intra-day data from 34 futures commission merchants and 1,395 discretionary accounts from January 2000 to December 2007. The empirical results show that discretionary account operations with program trading perform better on certain merchandises than that without one. These merchandises include GTF, MTX, T5F, and TF, and most of them earn positive profits. However, if the data is further divided into near/far month futures contracts, local/foreign institutional investors, top three/non-top three futures commission merchants and compare with one another, then the performance of the previous four merchandises from discretionary account operation is not necessarily better than that without one
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