投機交易活動對臺灣期貨市場報酬與波動的衝擊

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

本研究探討投機性交易活動對臺灣期貨市場報酬率與波動的衝擊。過去研究通常使用交易量或是未平倉量衡量交易活動。然而，此兩變數無法捕捉期貨市場中的投機性交易活動。本研究使用Garcia et al. （1986）提出的交易量除以未平倉量之比率作為另一衡量投機性交易活動用以探討不同交易人之投機性交易活動和報酬與波動之關係。實證研究顯示國外機構投資人為反向交易者；相反的，個別交易人為動能交易者。根據避險壓力效果和市場擇時能力，本研究認為國外機構投資人和個別交易人在臺灣期貨市場中分別為投機者與避險者。

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.