本研究主要分析國外機構投資人、國內機構投資人及自然人之交易(投機)活動對報酬與波動的影響，過去文獻常使用交易量做為交易(投機)活動之代理變數，而本研究採用Garcia, Leuthold, and Zapata (1986)之定義同時考量期貨交易量與未平倉量，其將期貨的交易量除以未平倉量作為觀察交易活動的代理變數，其又可作為觀察投機活動增減的指標。實證結果發現自然人為正向回饋交易者，及對過去的正(負)報酬訊息做正向的部位增加(減少)，而整體市場、國外機構投資人和國內機構投資人為負向回饋交易者，且正向回饋交易者並沒有導致期貨市場的不穩定，此結論與Lakonishok, Shleifer, and Vishny (1992)和Wang (2003)發現一致。
This study analyzes the impact of trading activity of trader types on return and vol-atility in Taiwan Futures Market. Previous studies generally use trading volume or open interest to measure trading activities. This study uses the ratio of trading volume over open interest suggested by Garcia, Leuthold, and Zapata (1986) as an alternative manner to examine the relationship among return, volatility and trading activity of trader type. The empirical results show the retail investors are positive feedback traders, but the overall market, foreign institutional investors and domestic institutional investor are negative feedback traders. The positive feedback traders did not lead to instability in the futures markets, this conclusion are consistent with Lakonishok, Shleifer, and Vishny (1992) and Wang (2003).
