The Impact of Open Interest and Volume of Three Institutional Investors on the Return of TAIEX Futures

• Main Authors: Jen-Chieh Liao, 廖仁杰
• Other Authors: 陳玉瓏
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/36318001637425861335

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 98 === In recent years Taiwan''s economic development is rapid, the financial commodity Promotes unceasingly, and futures already have became important invest and hedge tool in the Taiwan market. The international capital flowing is frequently in taiwan,forms three institutional investors: foreign investors, dealer and investment trust. In this article takes the TAIFAX''s TAIEX futures with three institutional investors''s transaction information as the research object, using smooth transition autoregressive model to analyze that the open interest and volume of three institutional investors effect the return of TAIEX futures. The empirical results discover there are different performance in TAIEX futures return, because of the three institutional investors trading impact. When the trade quantity small, the open interest of the foreign investors、the volume of the dealer and the open interest of the investment trust have negative effects to the TAIEX futures return; the volume of the investment trust have positive effects. When the trade quantity big, the open interest of the foreign investors and investment trust have positive effects to the TAIEX futures return; the volume of the foreign investors and dealer have positive effects. The volume of the investment trust have negative effects to the TAIEX futures return.