Abstract
This paper studies the dynamic relation between market returns and net-buy trading of different groups of investors, including foreign institutional investors, domestic institutional investors, individual investors, and futures proprietary firms, in the Taiwan Futures Exchange (TAIFEX). Based on trades and orders for each account, we find net trading of all types of investors positively relates to market returns contemporaneously. The intraday analysis at the 5-minute frequency suggests that domestic and foreign institutional investors and futures proprietary firms adopt positive feedback trading, while individual investors are contrarian after we exclude block trades. When block trades are excluded, the positive contemporaneous relations between returns and the trading activities of all categories of investors are weaker.
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