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

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/126736

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/126736

題名:	The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market
其他題名:	投機交易活動對臺灣期貨市場報酬與波動的衝擊
作者:	洪瑞成;王偉權
關鍵詞:	交易人種類;反向交易者;動能交易者;避險者;投機者
日期:	2016-04
上傳時間:	2025-03-20 09:22:04 (UTC+8)
出版者:	台灣期貨交易所
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.
關聯:	期貨與選擇權學刊、9(1)、Pp.103-134
顯示於類別:	[財務金融學系暨研究所] 期刊論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
index.html	0Kb	HTML	13	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章