Trading Behavior of Institutional Investors and Stock Index Futures Returns in Taiwan

被引：4
|
作者：
Lai, Hung-Cheng [1 ]
Wang, Kuan-Min [1 ]
机构：
[1] Overseas Chinese Univ, Taichung 40721, Taiwan
来源：
JOURNAL OF BEHAVIORAL FINANCE | 2015年 / 16卷 / 04期
关键词：
Institutional investor; Trading behavior; Trading volume; Open interest; COMMODITY FUTURES; HEDGING PRESSURE; VOLUME; SPECULATORS; PERFORMANCE; CAUSALITY; MARKET; IMPACT; COSTS; RISK;
D O I：
10.1080/15427560.2015.1095751
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, the relationship between three institutional investors' trading behaviors and Taiwan stock index futures returns is investigated. Empirical results show that foreign institutional investors (FINI) in the futures market are negative feedback traders while the investment trusts are positive feedback traders. Both trading behaviors follow the returns of index futures. Moreover, the net trading volume of FINI has a significantly positive effect on Taiwan stock index futures returns. In addition, the impact of Taiwan stock index returns for the open interest has a persistent effect. Finally, it was found that extreme net open interest of dealers predicts Taiwan stock index futures.
引用
收藏
页码：311 / 326
页数：16
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