The Impacts of the Institutional Investors Trade Activity on volatility in Taiwan Stock and Futures Markets

• Main Authors: Chin-Hsiang Liao, 廖進祥
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/nme385

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 106 === The purpose of this study is to examine the impacts of the institutional investors trade activity on volatility in taiwan stock and futures markets from the theoretical and empirical perspectives. This paper intends to analyze the volatility clustering of the financial time series data by using a Bivariate GARCH model, and then discuss the impact of the institutional investors trade activity on volatility in Taiwan stock and futures markets. The data period is from July 2, 2007 to August 25, 2017, with 2516 daily data in the Taiwan stock and futures markets. After the empirical results, it was found that: 1. The net buy/sell in Foreign stock has a greater impact on Taiwan futures market than Taiwan stock. 2. The long and short trade contracts of foreign trading in futures markets has a greater impact on Taiwan futures markets than Taiwan stock. 3. The long and short net open interest of foreign trading in futures markets has a greater impact on Taiwan futures markets than Taiwan stock. 4. Among the institutional investors, the net buy/sell of foreign trading in stock has a greater impact on stock and futures markets than the trust net and the dealers. 5. Among the institutional investors, the investment of the trust net in futures markets (quantity) has more influence on stock and futures markets (price) than foreign investment and the dealers. 6. The relationship between the open interest in the futures markets of the institutional investors and stock and futures markets (price) is negative.