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Information Content for Investor Groups in TAIEX Futures Trading


  • Acknowledgments: I am grateful to the National Science Council for Financial support (NSC96-2416-H-239-006) and two anonymous referees for helpful comments. Many thanks are also given to the Taiwan Futures Exchange for providing data to make this research feasible.

Corresponding author: Mei-Chen Lin, Department of Business Administration, National Taipei University. Tel: 886-2-2674-8189#66723, Fax: 886-2-8671-5912, email:


This study uses a unique dataset to examine whether the trade types of different classes of traders in the Taiwan Stock Exchange Capitalization Weighted Stock Index futures market convey different information regarding underlying spot index returns and volatility. The evidence shows that open trading by foreign institutional investors conveys more information regarding the underlying index, and open selling of individual investors is more likely to introduce noise signals to the spot market. However, the information role of trades by domestic institutions on spot index returns is ambiguous. Finally, the predictive power was mainly derived from trading in nearer-to-maturity contracts, rather than trading in contracts with longer time to expiration.