The Performance of Three Major Institutional Investors’ in Future Trading Market- Two-Stage Game DEA Approach
碩士 === 東吳大學 === EMBA高階經營碩士在職專班 === 102 === This thesis employs the Leader-Follower model and Centralized model of Two-Stage DEA to evaluate three major institutional investors’ overall performance in Taiwan stock index futures market from 2011 to 2013. The input item is Taiwan Futures Exchange’s dai...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/74659792968684825723 |
| Summary: | 碩士 === 東吳大學 === EMBA高階經營碩士在職專班 === 102 === This thesis employs the Leader-Follower model and Centralized model of Two-Stage DEA to evaluate three major institutional investors’ overall performance in Taiwan stock index futures market from 2011 to 2013. The input item is Taiwan Futures Exchange’s daily future trading information from TEJ. The empirical results show:
1.If market efficiency is the leader and trading efficiency be the followers in three major institutional investors’ strategy, there showed a different performance in two-stage DEA.
2.In comparison to the two-stage cooperative method, two-stage non-cooperative method is highly valued than cooperative method in trading market efficiency.
3.Three major institutional investors’ overall performance is much better in two-stage cooperative game method than in non-cooperative game method.
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