Performance Persistence on Transaction Accounts of Institutional Investors: Evidence in Taiwan Futures Market

• Main Authors: Yun-Tzu Fan, 范芸慈
• Other Authors: Chun-Nan Chen
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/794r7u

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 105 === The purpose of this study is to observe whether the "performance" obtained by the "investment account" of the domestic and foreign institutional entities in the Taiwan futures market has a significant "persistence". Then determine what kind of institutional entities earn persistent performance. This study uses domestic and foreign institutional investors’ performance in Taiwan's Stock Price-Weighted Index (TAIEX), from June 1, 2006 to July 31, 2008. In particular, "performance" mainly covers trading payoff, position payoff and settlement payoff. In order to obtain sufficient data during the two years period, this study uses the "trading account" of each institutional investor and stabilizes the "half-month return" arising from the transaction to verify and evaluate the variables. The objective is to observe whether the investment performance of domestic and foreign institutional entities in a short term period being persistent. In this study, we used several methods such as Cross Product Ratio test, Chi-square test and Spearman Rank Correlation test, and the method of simple regression. The aim was to obtain more effective results. In addition, after clarifying the characteristics of the organizational group with sustained performance, this study further observes that achieving higher overall returns during the observation period is likely to achieve sustained performance, or is the overall low performance. The results revealed that both the domestic and foreign institutional entities, the performance of their accounts with a very small proportion of strict, strictly speaking, the overall institutional investors performance is not sustainable. However, there is a relatively high proportion of accounts with institutional sustainability of firms with specific ethnic groups, and it is further speculated that investors of this category may have more investment information and experience to continue to use to create better investment performance investment strategy.