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

Hung-Cheng Lai and Kuan Min Wang

Economic Modelling, 2014, vol. 41, issue C, 156-165

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.

Keywords: Institutional investors; TVP-VAR model; Futures trading behavior (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:41:y:2014:i:c:p:156-165

DOI: 10.1016/j.econmod.2014.05.007

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