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Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns

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  • Lai, Hung-Cheng
  • Wang, Kuan-Min

Abstract

The relations between institutional investors' behavior and futures returns are examined in this study. Evidence suggests that net trading volume by foreign investors and investment trust have forecasting power for futures returns. In addition, the study applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of trading behavior by institutional investors on futures returns over time. The impact of open interest by three institutional investors is decreasing over the recent years. This implies that the value for open interest information from three major institutional investors is gradually declining in Taiwan.

Suggested Citation

  • Lai, Hung-Cheng & Wang, Kuan-Min, 2014. "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, vol. 41(C), pages 156-165.
    • Handle: RePEc:eee:ecmode:v:41:y:2014:i:c:p:156-165
    DOI: 10.1016/j.econmod.2014.05.007
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    Cited by:

    1. Ya-Wen Lai, 2023. "Impact of futures’ trader types on stock market quality: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 417-436, June.
    2. Huang, Jianbai & Li, Yingli & Zhang, Hongwei & Chen, Jinyu, 2021. "The effects of uncertainty measures on commodity prices from a time-varying perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 100-114.
    3. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    4. Boubekeur Baba & Güven Sevil, 2021. "Bayesian analysis of time-varying interactions between stock returns and foreign equity flows," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    5. Yen-Hsien Lee & Wen-Chien Liu & Chia-Lin Hsieh, 2017. "Informed Trading of Futures Markets During the Financial Crisis: Evidence from the VPIN," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 123-132, September.
    6. Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.

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    More about this item

    Keywords

    Institutional investors; TVP-VAR model; Futures trading behavior;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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