Taiwan Stock Index Futures’ Volatility, Basis and Three Major Institutional Investors

• Main Authors: YEH, SZU-YU, 葉思妤
• Other Authors: LAI, YA-WEN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/ve8d57

碩士 === 國立虎尾科技大學 === 財務金融系碩士班 === 108 === This study analyzes the relationship between the open interest of major institutional investors (i.e. Foreign Institution Investors, Investment Trusts, and Dealers) respectively with the volatility and basis of the Taiwan stock index futures. Volatility is measured by both intraday and inter-day returns, where the intraday volatility is calculated by three ways: realized volatility approach (RV), high-low prices approach (RHL), and open-high-close-low price approach (RH). The basis is applied to measure the price efficiency of stock index Futures’ prices. The research methods are multivariate linear regression and the GARCH models. The empirical results for all three intraday volatility measures indicate that index futures’ volatility increase with the market participation of Dealers, with a more significant effect when increasing the participation in short positions. There is less evidence showing that intraday volatility was influenced by the participation of Foreign Institution Investors. For the inter-day volatility, the results show that the inter-day volatility still increases with Dealers’ but decreases with Foreign Institutional Investors’ market participation. As for the basis (in absolute value) results, a higher market participation by Investment Trusts leads to a decrease in price efficiency, which is more obvious especially when increasing the participation in short positions. Overall, volatility of index futures’ prices increases with the market participation of Dealers, irrespective of intraday or inter-day volatility being applied. The market participation by Investment Trusts has a negative effect on the price efficiency. Foreign Institution Investors’ participation can decrease inter-day volatility.