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• Main Authors: HUANG,YING-CHIEH, 黃英杰
• Other Authors: 張傳章
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/93763444622069002935

碩士 === 國立中央大學 === 財務金融學系在職專班 === 104 === The research comprises a trading strategy involving the data via Taiwan Future Exchange in the open interest of the three institutional investors and apply the strategy to trade on the three types of ETFs in Taiwan 50 (0050),Taiwan Banks (0056) and Taiwan High Dividend (0056), undertaken during the volatile period of financial crisis from July 2nd 2007 to Apr 30th 2016.The empirical evidence shows by applying the open interest of the foreign investors to trade on the three ETFs will generate a higher excess return than to trade on the ETF per se, whilst applying the open interest of investment trust and proprietary dealers to trade on the three ETFs does not generate any excess return. The next step is to use the regression model to conduct the return attribution analysis. Using the open interest of foreign investor to apply trade on the three ETFs shows a statistical significance in the daily trading volume of the ETFs.