The Research on Relationship among Institutional Investors' Behavior, Stock Market and Future Market

• Main Authors: Wang, Teng-Yuan, 王登元
• Other Authors: Gong, Shang-Chi
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/48585602738256065386

碩士 === 輔仁大學 === 科技管理學程碩士在職專班 === 100 === A Study on the Relationship between Investment Behaviors of the Three Major Institutional Investors and Stock and Futures Market in Taiwan This study discusses the relationship between investment behaviors of the 3 institutional investors (foreign investors, mutual fund, security dealers) and the stock market and the futures market, revealing the effects on the ups and downs of the stock market in Taiwan. Previous researches focus on the trading behaviors of the 3 major institutional investors in the stock market while TAIFEX futures is taken into account in this study. As for the collected data, net buy and sell amount in stock market, open interest of futures market, ups and downs in stock market, and price on settlement date of TAIFEX futures are utilized to disclose the interrelations of foreign investors, mutual fund, security dealers’ manipulations of stock market and futures market. The following conclusions are acquired via the empirical study: 1. Stock market highs and lows can be seen from net buy and sell of the 3 major institutional investors and stock market ups and downs. Peaks and troughs of the wave in the stock market can be detected from the relationship between stock market’s ups and downs and foreign investors’ net buy and sell. However, the trading behavior of mutual fund only reflects peaks of the wave; that of security dealers barely unveils peaks of the wave. 2. The results show foreign investors detect a better reference in trading at long only and short only of TAIFEX futures, but such reference isn’t such distinguishing in the cases of mutual fund and security dealers.