首页|The Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan's Index Futures Market
The Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan's Index Futures Market
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NSTL
This article examines the price impact of different types of investors' trading activities in the Taiwan index futures market on the market, and explores the information roles of different types of investors. We find the trading volumes of different investors in the index futures market affect futures returns through information. The impact on index futures returns in the current period is small, showing the ability of foreign institutional investors to quickly respond to negative news and obtain information advantages. Further, from the MSE and QLIKE loss functions, individual investors use EGARCH(1,1), domestic institutional investors TGARCH(1,1), and foreign institutional investors GARCH(1,1). Further, the imbalance of buy and sell orders is suitable for the fluctuation of futures returns using EGARCH(1,1).
Index futuresReturn volatilityVariance estimationInvestment behavior
CHEN-CHENG CHIEN、CHUN-NAN CHEN
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Graduate Institute of Finance National Taiwan University of Science and Technology
NSTL
