| Summary: | 博士 === 淡江大學 === 財務金融學系博士班 === 107 === Over the period in which intraday data of Taiwan’s futures market were sampled (July 2009–November 2012), Taiwan’s Equity Index Futures (TX) retail investors accounted for 65.49% of the total market trading volume, and retail investors were generally considered noise traders. However, this study found that a small portion of high-trading retail investors (HRI) earned a comparable return on investment to that of foreign companies. This phenomenon is probably because capital gains of natural persons in Taiwan are not taxed, resulting in “fake retail investors” whose nominee accounts are borrowed by retirees from institutional agencies such as proprietary traders of futures or local underground investment companies that manage investments on behalf of clients.
Therefore, this study reviewed literature regarding futures price decomposition, order imbalance, and first-order autocorrelation to analyze the profitability of HRI in terms of their TX trading volume. In this paper, retail investors were divided into ten groups according to 10% of retail investors’ daily trading volume and number of investors. The first group comprised the least number of retail investors, and they are the high-trading retail investors in this study. Given that the regression results of buying and selling volumes for HRI and two foreign companies are the same and that the two foreign companies reported excess returns, this study verifies whether HRI presented favorable profitability. Moreover, the regression results of permanent prices are consistent for all sampling periods (i.e., the price-increase period, price-drop period, mini TX, and different time intervals). This result indicates that the trading volume of HRI yielded favorable profitability in Taiwan’s futures market.
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