| Summary: | 碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 99 === This article used time series methods such as Vector Autoregression Model(VAR), discusses information content of the three major institutional investors trade behavior -evidence from Taiwan equity and future’s market. Research used the three major institutional investors information from Taiwan Future Exchange and Taiwan Stock Exchange, research time total of 2.5 years from July 2008 to December 2010.
The empirical results reveal Investment Trust Company and Foreigner Investment trade behavior affect future return in the future market, between relationship is positive, however Dealer trade behavior can not affect future return in the future market, indication Investment Trust Company and Foreigner Investment has better forecast ability; in addition the three major institutional investors trade behavior can not affect future return in the equity market. The article at the same time to determine from future and equity market, discover Investment Trust Company is speculators, Foreigner Investment is hedger, but can not explanation trade behavior of Dealer.
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