本研究探討台灣期貨交易所中三大法人和散戶的交易行為。為了擷取出期貨交易行為的資訊內涵，本研究藉由各交易者淨部位建構出多種衡量指標。由實證結果發現，外資的指標能作為價格連續指標；相反的，散戶的指標則為價格反轉指標。當外資尚不能從事非避險交易時，外資的指標仍然具有預測能力，不過在主管機關解除限制後，外資的預測能力反而下降，這裡結果並不符合與避險壓力效果 (hedging pressure effect) 。最後，在高峰/谷底指標建構的交易策略中，發現參考外資和投信的指標可以帶來獲利 This paper examines the trading activity and performance of domestic individual traders, foreign institutional investors, investment trust and futures proprietary in Taiwan Futures Exchange (TAIFEX). To extract the information of futures trading activities, we construct several indicators which made by net position of traders. The empirical results indicate that the indicators of foreign institutional investors’ trading activity in this paper usually forecast price-continuations in futures prices. On the contrary, the indicators of domestic individual trading activity usually forecast price-reversals in the futures markets. When foreign institutional investors were restricted by authorities in Taiwan that can only trade futures for hedging, the indicators of foreign institutional investors still have forecasting ability. However, the forecasting ability decreased after authorities lifted the restriction. This finding is inconsistent with the hypothesis of hedging pressure effects. Finally, we find that a simple trading strategy based on peaks/troughs indicators of foreign investors and investment trust is profitable.
