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Trading Behavior of Institutional Investors and Stock Index Futures Returns in Taiwan

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  • Hung-Cheng Lai
  • Kuan-Min Wang

Abstract

In this study, the relationship between three institutional investors' trading behaviors and Taiwan stock index futures returns is investigated. Empirical results show that foreign institutional investors (FINI) in the futures market are negative feedback traders while the investment trusts are positive feedback traders. Both trading behaviors follow the returns of index futures. Moreover, the net trading volume of FINI has a significantly positive effect on Taiwan stock index futures returns. In addition, the impact of Taiwan stock index returns for the open interest has a persistent effect. Finally, it was found that extreme net open interest of dealers predicts Taiwan stock index futures.

Suggested Citation

  • Hung-Cheng Lai & Kuan-Min Wang, 2015. "Trading Behavior of Institutional Investors and Stock Index Futures Returns in Taiwan," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 16(4), pages 311-326, October.
    • Handle: RePEc:taf:hbhfxx:v:16:y:2015:i:4:p:311-326
    DOI: 10.1080/15427560.2015.1095751
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    Cited by:

    1. Wang, Kuan-Min & Lee, Yuan-Ming, 2022. "Is gold a safe haven for exchange rate risks? An empirical study of major currency countries," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    2. Ajay Kumar Chauhan & Barnali Chaklader, 2023. "Do Local Investors Exhibit Smart Value Investment? Empirical Evidence from India," Global Business Review, International Management Institute, vol. 24(5), pages 833-844, October.
    3. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.

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