Can Investor Aggressiveness Predict Futures Price?

• Main Authors: Tzu-Jing Shih, 石姿靜
• Other Authors: 林蒼祥
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/3xht9e

碩士 === 淡江大學 === 財務金融學系碩士班 === 106 === The purpose of this thesis is to investigate if investors’ aggressiveness can predict the futures price between market participants and fast traders. Based on Benoa and Sagde (2016), investors’ aggressiveness can be examined by observing their Demand and Supply toward Liquidity. To observe how different aggressiveness predict futures price, I have divided traders by their trading aggressiveness into three categories: Aggressive, Neutral and Passive. Furthermore, this study has divided market participants and fast traders into three categories: Foreign Institutions, Domestic Institutions and Retail, as well as discussed their abilities to predict the futures price. The result of the study reveals that Aggressive market participants have the negative capacity toward predicting futures price.The reason might be that Aggressive market participants are often considered noise traders. However, it shows that Aggressive fast traders have no effect on prediction of futures price. The reason might be that fast traders are full of informed traders and noise traders. The result of this study indicates that Neutral Foreign Institutions in the market and Neutral Foreign fast traders are able to predict futures price. Aggressive retails might be noise traders but Aggressive Retail fast traders might not.