| Summary: | 碩士 === 高苑科技大學 === 經營管理研究所 === 102 === The study examined how institutional investors’ buy-sell imbalance in Taiwan futures markets and stock markets are correlated with and impacting the futures market trends. The sample period extends from 2011 to 2013, and a total 743 daily data sets were collected from Taiwan Futures Exchange, Taiwan Stock Exchange, and Taiwan Economic Journal Database. The study used the buy-sell imbalance indicator to evaluate the trading condition of institutional investors in index futures and the stock markets. Then apply the regression modles was conducted to examine how the three major institutional investors’ buy-sell imbalance in index futures and the stock markets are correlated with variables such as the price, the trading volumes, the volatility of the futures market on the same day (or the previous trading day). The following suggestions were made from the empirical evidence obtained by the study. First, influenced by the rising futures prices, the three major institutional investors on the same day would take a long position in the futures market. Secondly, foreign futures investors and futures dealers would operate in the opposite direction. Third, Foreign investors are likely to opt for a short position in the futures market if security dealer have taken a long position in the futures market and there was an increase in the return rate of futures the day before. Fourth, when controlling the same day price and volume variables of the futures market, the total number of buy-sell imbalance positions of the three major institutional investors in the stock market would have a negative impact on the Buy-sell imbalance positions in the futures market. Fifth, if for all three major institutional investors there is an increase in the futures return rate the day before, these investors are likely to switch to short positions on the next trading day. The findings here are useful for the general investors to understand the trading conditions of institutional investors in the futures market and the interaction between the trading conditions and the futures market trends.
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