Is it a good idea to follow the Pros？An empirical investigation for TAIFEX of Index Futures

• Main Authors: James Liu, 劉家銘
• Other Authors: 楊聲勇
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/46740920974968751577

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 96 === In relevant literature, there are few researches focusing on the role and their dominant position of the institution investors and/or the large traders in Taiwan index futures market. This study is designed to fill the gap by investing whether there is an effective emotional indicator (index) extracted from trading of those large traders that is informational for investment. More specifically, we want to examine if the large traders could take the dominant position in the market. We are expecting that this research can make a contribution to the literature of Taiwan index futures market. We collected the trading data reported from Taiwan Futures Exchange (TAIFAX). The data included TAIEX Options Open interest, TAIEX Futures Open Interest of Large Traders, and Taiwan index buying and selling deals. Using these data we calculated put/call ratio, open interest, and sell deals/buy deals, as proxies for three large traders’ emotional indexes. We apply the regression model to test the relation between the three indexes and the returns of TAIEX futures. We find that all three indexes have positive and significant effect on the TAIEX, which is the same with our expectation.