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

摘要

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 overtime. 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. (C) 2014 Published by Elsevier B.V.