The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Journal Article > Item 987654321/126736

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/126736

Title:	The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market
Other Titles:	投機交易活動對臺灣期貨市場報酬與波動的衝擊
Authors:	洪瑞成;王偉權
Keywords:	交易人種類;反向交易者;動能交易者;避險者;投機者
Date:	2016-04
Issue Date:	2025-03-20 09:22:04 (UTC+8)
Publisher:	台灣期貨交易所
Abstract:	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.
Relation:	期貨與選擇權學刊、9(1)、Pp.103-134
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

Files in This Item:

File	Size	Format
index.html	0Kb	HTML	11	View/Open