A research for the future of foreign trading behavior influences on the TAIEX return

• Main Authors: CHUN-MING TSAI, 蔡峻銘
• Other Authors: 賴弘程
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/50098849260812094764

碩士 === 僑光科技大學 === 財務金融研究所 === 104 === The article discusses the future of foreign investors’ trade and TAIEX returns, and also observes the future trading volume of foreign investors and open interest with the connection of TAIEX returns. There are 1986 pieces of data, which are collected between January 1 , 2008 to December 31, 2015.There Among these, it utilizes vector error correlation model、Granger causality tests、forecast error variance decomposition and other methods to explore the behavior of future foreign investors that will affect TAIEX returns. Evidence shows that future open interest of foreign investors and the trading volume of future foreign investors that have positive impact on TAIEX return in a short time could be regarded as leading indicators. Besides, Granger causality tests prove that the trading volume of future foreign investors has a two-way feedback relationship to TAIEX returns. Finally, with the impulse response analysis, we find out future trading volume of foreign investors have a higher influence than trading volume to the effect of TAIEX returns.