法人交易活動的外溢：現貨及期貨市場的證據

Spillovers of Institutional Trading Activity: Evidence from the Spot and Futures Markets

本文檢驗法人交易活動在現貨及期貨市場的外溢。自2008年4月7日開始，台灣期貨交易所揭露機構法人的交易活動，此資料提供了研究法人交易活動的機會。本文結果指出法人類型在現貨及期貨市場間並不相同，其證據支持資訊不對稱假說。此外，結果亦顯示在期貨市場的法人交易活動相較於現貨市場是比較有關的，其證據支持整體市場資訊假說。最後，法人買賣交易活動的外溢提供了有關於市場條件的有用資訊。

This paper examines the spillover of institutional trading activity for/across the stock and futures markets. The TAIFEX has disclosed the trading activity for institutional investors since April 7, 2008, and this data provides an opportunity to study this issue. The results indicate that the importance of investor type differs between the stock and futures markets. The evidence supports the asymmetric information hypothesis. In addition, the results show that the institutional trading activity of the futures market is more relevant than the spot market. This finding supports the market-wide information hypothesis. Finally, the spillover of institutional buy- and sell-side trading activities provides valuable information related to market conditions.