文件名称:1-s2.0-S0264999314001746-main
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论文：Relationship between the trading behavior of three institutional
investors and Taiwan Stock Index futures returns-The relations between institutional investors behavior and futures returns are examined in this study. Evidence
suggests that net trading volume by foreign investors and investment trust have forecasting power for futures
returns. In addition, the study applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate
the relative effects of trading behavior by institutional investors on futures returns over time. The impact
of open interest by three institutional investors is decreasing over the recent years. This implies that the value for
open interest information three major institutional investors is gradually declining in Taiwan.
© 2014 Published by Elsevier B.V.
investors and Taiwan Stock Index futures returns-The relations between institutional investors behavior and futures returns are examined in this study. Evidence
suggests that net trading volume by foreign investors and investment trust have forecasting power for futures
returns. In addition, the study applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate
the relative effects of trading behavior by institutional investors on futures returns over time. The impact
of open interest by three institutional investors is decreasing over the recent years. This implies that the value for
open interest information three major institutional investors is gradually declining in Taiwan.
© 2014 Published by Elsevier B.V.
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