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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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    1. repec:eee:energy:v:149:y:2018:i:c:p:424-437 is not listed on IDEAS

    More about this item

    Keywords

    Institutional investors; TVP-VAR model; Futures trading behavior;

    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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