The Impacts of Institutional Future and Option Trading Volume on Stock and Future Rerurns

• Main Authors: Yu-Sheng Lin, 林育昇
• Other Authors: Hung-Neng Lai
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/12987976457242230984

碩士 === 國立中央大學 === 財務金融研究所 === 97 === Previous studies indicate that institutional investors perform better than individual investors. This study uses the VAR model to investigate the relationship between institutional investors'' trading volume and market returns of Taiwanese markets during the period from December 14, 2000 to December 14, 2005. The results reveal that foreign investors have the largest impact on stock and future return. However, none of the institutional investors'' option trading volume can significantly affect stock and future returns. Besides, the results also reveal that stock market lead future market and spill out information. In the analysis of institutional investors'' behavior, foreign institutional investors and domestic institutional investors employ contrarian strategy in futures market.