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研究生： 柯馥甄
Jhen, Fu
論文名稱： 台灣期貨市場機構投資人之投資行為:以台指期貨為例
Institutional investors’ behaviors in Taiwan futures market: evidence from TAIEX futures
指導教授： 陳俊男
Chen, Chunnan
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 74
中文關鍵詞： 台灣期貨市場 、機構投資人
外文關鍵詞： type of trader, institutional investors, Taiwan futures market
相關次數： 點閱：131  下載：4 
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    • This paper examines institutional investors’ trading behavior and payoff in Taiwan futures market from March 27, 2006 to September 19. We utilize unique data from TAIFEX which include detail trading information from different accounts. The empirical results show foreign institutions are winners and domestic institutions are losers during our sample period. By using vector autoregressive analysis (VAR) model and VAR with exogenous (VARX) model, we find that foreign institutions’ trading volume Granger causes market’s price volatility positively which implies they possess ability to influence future index. Institutions’ open interest isn’t a good explanatory variable in our model, yet foreign institutions’ net buy/sell in stock market will affect not only foreign institutions’ but domestic institutions’ trading volume in futures market. Additionally, domestic institutions have significantly overconfident behaviors for day trading and non-day trading as well as foreign institutions also exhibit this behavior for day trading. Moreover, foreign institutions possess negative feedback behaviors. This finding is consistent with Lin et al. (2004). Unlike previous studies, our defined variables are totally different and provide a new perspective to trace out institutional traders’ behaviors in futures markets.

    Chapter I.Introduction..... 1 Chapter II.Literature Review........ 3 1.Performance of Traders........3 2.Trading behaviors of investors........4 3.Autoregression for volume, payoff, and volatility........5 4.Volume-Payoff relationship........6 5.Volume-Volatility relationship........7 6.Exogenous variables (Open interest, QFIIs’ net buy/sell, dealers’ net buy/sell)........8 Chapter III.Data and Methodology........10 1.Data........10 2.Variables definition........11 3.Methodology........15 Chapter IV.Empirical Results........21 1.Sample statistics........21 2.Empirical results for foreign institutions........25 3.Empirical results for domestic institutions ........34 4.Empirical results for sub-group VAR model for individual and institutional investors........43 Chapter V.Robustness........51 Chapter VI.Conclusion........54 Appendix........57 References.......70 Table 1 Net payoff, day trading payoff, non-day trading payoff, position payoff, volume, day trading volume, and open interest (OI) of domestic institution and foreign institution.( period:2006/3/27~2007/9/19)........22 Table 2 Taiwan future market and stock market information........23 Table 3 Determine the optimal lag order (p) by AIC and SC for foreign institutions........26 Table 4 Volume-Net payoff-Volatility VAR model, and Granger-causality tests for foreign institutions........26 Table 5 VARX model, and Granger-causality tests for foreign institutions........27 Table 6 Variance decompositions from the Recursive VAR ordered as volume, net payoff, volatility for foreign institution........29 Table 7 Day trading VAR model for foreign institutions........32 Table 8 Day trading VARX models which add net buy/sell of QFII and dealer for foreign institutions respectively........33 Table 9 Determine the optimal lag order (p) by AIC and SC for foreign and domestic institutions........35 Table 10 Volume-Net payoff-Volatility VAR models and Granger-Causality tests for domestic institutions........35 Table 11 Volume-Net payoff-Volatility VARX model, and Granger-causality tests for domestic institutions........36 Table 12 Variance decompositions from the Recursive VAR ordered as volume, net payoff, volatility for domestic institutions........38 Table 13 Day trading VAR models and Granger-Causality tests for domestic institutions.........41 Table 14 Day trading VARX models which add net buy/sell of QFII and dealer for foreign institutions.........42 Table 15 Granger-Causality Tests for two sub-groups over the interval March 27, 2006 to September 19, 2007.........44 Table 17-1, 17-2 Variance decompositions from the recursive VAR ordered as volume, net payoff, volatility for two sub-groups over the interval March 27, 2006 to September 19, 2007.........47 Table 18-1, 18-2 Ratio-Net payoff-Return VAR model for foreign and domestic institutions........52 Table 19-1, 19-2 Summary tables for empirical results 56 Table 20 Gross payoff(1) in six groups (period:1999/1/5~2007/9/19)........57 Table 21 Net payoff, position payoff, day trading payoff, non-day trading payoff in six groups (period:1999/1/5~2007/9/19)........59 Table 22 Total volume, day trading volume, and open interest (OI) in six groups. (period:1999/1/5~2007/9/19)........60 Table 23-1, 23-2 Variance decomposition of day trading VAR model for domestic institution and foreign institutions........62 Table 24-1, 24-2 Variance decomposition in Ratio-Net payoff-Return VAR models for domestic institutions and foreign institutions........66 Figure 1 The series of volume, net payoff, and volatility for domestic institutions.........24 Figure 2 The series of volume, net payoff, and volatility for foreign institutions.........24 Figure 3 Impulse responses in the Volume-Net payoff-Volatility Recursive VAR for foreign institutions........30 Figure 4 Impulse responses in the Volume-Net payoff-Volatility Recursive VAR for domestic institutions........39 Figure 5 Impulse responses in the Ratio-Net payoff-Return Recursive VAR model for foreign institutions........68 Figure 6 Impulse responses in the Ratio-Net payoff-Return Recursive VAR model for domestic institutions........69

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