本文利用台灣期貨交易所提供的類別交易者交易資料，來探討有關於期貨交易者對期貨基差的影響；期貨交易者的交易動機、時間能力與獲利能力；期貨交易者淨買賣超對指數報酬與交易者之間的相互影響。本文的實證發現摘要如下：
(一) 期貨交易者與期貨基差之研究
期貨基差是現貨價格與期貨價格的差異，文獻上發現期貨基差會受到市場因素、風險溢酬(risk premia)和指數產生時的統計偏誤影響，然而這些因素似乎不能解釋台灣期貨市場常出現的逆價差問題，本文加入Hsu and Wang (2004)的價格預期理論，利用交易者的淨交易流量來探討價格預期是否會影響期貨基差，實證顯示交易者的交易行為會影響期貨基差，而且交易者的交易行為對基差的影響具有不對稱性。
(二) 交易者之交易行為及績效
由各交易者買賣超資料分析發現(雙週資料)，自然人與期貨自營商為正向回饋(positive feedback)交易者而外資與證券自營商為對立者(contrarian)，並且自然人與期貨自營商擁有較佳的時間能力。而在操作績效方面，各交易者在加權期指上並無顯著的領先績效，然而在電子期指上，自然人的操作績效卻顯著優於外資法人，然而這並不表示自然人有較佳的資訊內涵，反而是由於避險壓力假說的效果，這發現與部分的股票市場交易者績效不同。
(三) 交易者與市場報酬之互動關係
本研究的目的為了解在期貨市場裡各交易者的互動關係，及其交易對期貨報酬的影響(日資料)。實證發現外資與自營商為正向回饋交易者，外資為反向交易者；交易者的交易流量與同期的期指報酬有顯著的相關，我們發現回饋交易與從眾行為能解釋這發現。在期貨市場裡，平均而言外資的影響力最大，其次依序為報酬率、期貨自營商與外資，其中外資的操作策略深受外資的影響，這與股票市場的實證有顯著的差異；在資訊傳遞速度上，期貨市場的效率也較股票市場為弱，原因應是與市場成熟度有關。在各交易者對期指報酬的影響下，我們發現，外資與證券自營商的交易有助於期指報酬的均衡，然而期貨自營商對期指報酬的影響則不顯著，最後我們發現外資是期貨市場的最大輸家。
(四) 第(二)點與第(三)點之不同實證發現在於，前者以雙週資料發現外資在電子期貨裡為避險者，支付風險溢酬與投機者(自然人)；後者以日資料發現外資在加權期指為資訊交易者，相對於自然人擁有正的報酬。

Abstract

This study uses the futures traders’ data provided by the Taiwan futures exchange (TAIFEX) to investigate three issues on the futures type of traders and the futures price behavior. We first show that trades of trader’s have significant influence on the futures basis. Second, we provide some empirical evidence on the traders’ behavior and their performance. Last, we show the dynamics of major type of traders in Taiwan futures market. The main findings are as follows:

Traders and futures basis: In this study, we find that the individual traders and futures dealers generate the basis movements. The trading flows from the foreign investors and security dealers are in the opposite direction of the basis movements. Our results reveal that the basis movements are contemporaneously related to traders’ trading flows. The intertemporal trading flows have little impact on the basis movements. We also find asymmetric trade impact on the basis and the asymmetries are mixed among each type of trader.

Trader’s behavior and performance: In this study, two findings are obtained. First, we find that individual traders and futures firms are positive feedback traders and have better timing ability; however, foreign investors and security firms are contrarians. Second, the individual trader outperforms the foreign investor in electronic sector index futures significantly but not in TAIEX futures. This does not mean that the individual investor has better information content than the foreign investor. One possible explanation is that foreign investors (hedgers) pay a premium to speculators for risk bearing service, called “the hedging pressure effect.” These results are inconsistent with earlier studies in equity markets.

The dynamics of major type of traders: The empirical results show that foreign investors and dealers are positive feedback traders, whereas individuals are contrarians. We also find a strong contemporaneous relation between the trading flows of traders and futures returns which can be explained by the feedback trading and herding behavior of traders. Further, we find that individuals are the most influential traders in the futures market and foreign investors are deeply influenced by these individuals. This finding indicates a significant difference from the stock market. The speed of information transmission in futures market is also slower than in the stock market. This phenomenon can be explained by the relative newness of this market when compared to the stock market. We also provide evidence that trades by foreign investors and security dealers speed up the futures price equilibrium process, whereas the price impact of futures dealers is inconclusive. Last, evidence shows that individuals are the biggest losers in futures market.

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