Probability of Informed Trading with the Day-of-Week Effect on Futures Returns

• Main Authors: Chia-Lin Hsieh, 謝佳霖
• Other Authors: Yen-Hsien Lee
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/s9yx9n

碩士 === 中原大學 === 國際商學碩士學位學程 === 104 === This study estimates the Volume-Synchronized Probability of Informed Trading (VPIN) which was provided by Easley, Hvidkjaer and O’Hara (2012) in futures market of Taiwan. First, the researcher used GARCH (1,1) model to analyze VPIN impact on futures returns which covered the period from January 2, 2008 to March 18, 2009. Second, the researcher considerate the day-of-week effect on the futures returns in Taiwan. Third, the researcher used these two conditions to examine the influence on futures returns. Moreover, the different type of institutional traders with transaction information and the futures returns have high correlation. Thus, the researcher divided the investors into two identities: one is domestic institutional investor and the other is foreign institutional investor. Finally, the researcher further explored the VPIN of different type traders and the VPIN of different type traders on weekdays influence futures returns. The empirical evidence indicated that probability of informed trading has no significant impact on futures returns. However, the examination indicated that there is the day-of-week effect on Wednesday which influences on futures returns. Secondly, the researcher examined the day-of-week effect of VPIN, and then found that has impact on futures returns. Owing to these results the researcher divided the traders into, domestic institutional trader and foreign institutional trader; particularly VPIN of foreign institutional trader has a high impact on futures returns. The researcher conjectured that the VPIN of various identity institutional traders on different weekdays affect the futures returns of Taiwan. Finally, the result shows that VPIN of domestic institutional traders’ trade futures returns has highly significant on Wednesdays in Taiwan futures market.