| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === n this paper, we apply the method of Chang, Hsieh and Wang (2010) to investigate the information content of Delta to examine the market timing and the predictive power of different types of traders in the TAIEX futures and options markets on stock market return. We also discuss the impact of financial crisis how to affect the traders.
After the market timing and regression analysis about predictability, this paper finds that foreign institutional investors who trade in only futures market and in both futures and options markets (FF and CF) are the informed traders on the stock market return. Dealers (CS) have wrong information about future return in our result. Market makers’ (OM) major purpose is providing liquidity, so their predictability is not significant. Besides, we also find that individual investors have no the predictive power of the future return. For this reason, we define individual investors as noise traders.
In the period of financial crisis, most of investors had been influenced, including domestic institutional investors, small individual investors and market makers. And we find foreign investors could not be impacted in this period. Our empirical results show that foreign institutional investors who trade in only futures market and in both futures and options markets (FF and CF) possess the strongest and most direct information.
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