Open AccessThe Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan’s Index Futures Market
Author(s) -
Chen-Cheng Chien,
ChunNan Chen
Publication year - 2021
Publication title -
wseas transactions on business and economics
Language(s) - English
Resource type - Journals
eISSN - 2224-2899
pISSN - 1109-9526
DOI - 10.37394/23207.2021.18.124
Subject(s) - futures contract , index (typography) , financial economics , institutional investor , autoregressive conditional heteroskedasticity , economics , futures market , business , monetary economics , finance , volatility (finance) , corporate governance , world wide web , computer science
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).