The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market
學年 104
學期 2
出版(發表)日期 2016-04-01
作品名稱 The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market
作品名稱(其他語言) 投機交易活動對臺灣期貨市場報酬與波動的衝擊
著者 洪瑞成; 王偉權
單位
出版者
著錄名稱、卷期、頁數 期貨與選擇權學刊、9(1)、Pp.103-134
摘要 The study examines the impact of speculative trading activity on return and volatility in Taiwan futures market. Previous studies generally use trading volume or open interest to measure trading activities. However, these two variables are failed to seize the speculative trading activities in futures market. This study uses the ratio of trading volume over open interest suggested by Garcia et al. (1986) as an alternative manner to examine the relationship among return, volatility and (speculative) trading activity of trader type. Empirical results show that the foreign institutional investors are contrarian traders; on the contrary, retail investors are momentum traders. According to hedging pressure effects and market timing ability, this study concludes that foreign institutional investors are speculators and retail investors are hedgers in Taiwan futures market.
關鍵字 交易人種類; 反向交易者; 動能交易者; 避險者; 投機者
語言 en
ISSN 2410-8146
期刊性質 國內
收錄於 TSSCI
產學合作
通訊作者
審稿制度
國別 TWN
公開徵稿
出版型式 ,電子版