AUTHOR(S):

Chen-Cheng Chien, Chun-Nan Chen

TITLE

The Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan’s Index Futures Market

ABSTRACT

Different investor types on Taiwan’s index futures market respond differently to futures prices. 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)..

KEYWORDS

index futures; return volatility; variance estimation; investment behavior

Cite this paper

Chen-Cheng Chien, Chun-Nan Chen. (2021) The Informational Response of Different Investor Types on Futures Return Fluctuations: Evidence from Taiwan’s Index Futures Market. International Journal of Economics and Management Systems, 6, 527-536

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