Building futures trading strategy - According to three major institutional investors trading information

• Main Author: 陳佳敬
• Other Authors: Chen, Wei Kuang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/68309813265818120720

碩士 === 國立政治大學 === 金融研究所 === 103 === The thesis aims to build a trading strategy by using the information of three major institutional investor’s trading data, such as open interest, net buy-sell and market put-call ratio. First, we analyzes the information of the three major institutional investor individually. We find that using foreign investor’s trading information can get more return. In addition, the data of foreign investor’s open interest is more informative than the data of put-call ratio and net buy-sell. Furthermore, we use data of put-call ratio and net buy-sell as market factors, both can explain the market emotion and also filter out unnecessary trading days to reduce the impact of transaction costs. Finally, we consider other factors which may affect the return of this trading strategy in real conditions. Factors include the control of transaction costs, maintenance margin, irrational investors, and other issues. Through the discussion, investors can understand the risks of the strategy.