An Investigation of the Relationship between Open Interest and Volume of Three Institutional Major Investors and Volatility Index

• Main Authors: Wei-chi Lin, 林偉麒
• Other Authors: Wei-peng Chen
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/84572417078650911904

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 100 === In regard to the attainment of maturity of the developing environment for futures market in Taiwan, In addition to domestic investors than stock trading, futures trading is also more of a pipe,Taiwan Futures Exchange imitates the security market to disclose trade information on Futures and Options Three Institutional Major Investors since April 7, 2008. The data utilized in this study include the relationship between trade information of Futures、Options revealed by Taiwan Futures Exchange and the Taiwan index Futures、VIX. This study employs Vector Autoregression、Granger Causality、Impulse Response Function、Forecast Error Variance Decomposition to investigate of the Relationship between Open Interest and Volume of Three Institutional Major Investors and Volatility Index The empirical result show as follows: 1. The Taiwan index Futures and trading volume are negative relationship. 2. The Taiwan index Futures and Open interest are positive relationship. 3. The VIX and trading volume are positive relationship. 4. The VIX and Open interest are negative relationship.