本研究以2007年7月2日到2010年3月31日臺指及臺指期貨收盤價、三大法人買賣量、未平倉量等資料，利用二項式檢定、Granger和同期因果關係檢定、向量自我迴歸模型、一般化衝擊反應分析等方法，探討機構投資人對市場報酬的影響及交易行為，並延伸探討機構投資人間的跨市場影響。
研究發現，現貨價格領先期貨價格，彼此存有短期正向關係。在股市與期市，皆是自營商領先投信而投信領先外資，外資雖為追隨者，但因外資投資比重高，對股價仍較本國法人有影響力，且對散戶而言為領先指標。股市外資與自營商為負向回饋交易者，投信則無顯著的結果；期市投信為正向回饋交易者，外資為負向回饋交易者，自營商則無顯著的結果，此結果也顯示外資是較理性的投資人，能穩定市場的發展。自營商及外資皆重視短期績效，炒短線套利，不易受市場報酬的影響，以操作現貨為主，不以期貨為避險目的；投信較容易受市場報酬的影響，較積極操作期貨，且有明顯從眾行為，但在兩市場的從眾程度不同。股市外資與投信的交易行為呈正相關且較密切，自營商則採取與投信反向的交易策略；期市外資與自營商及投信的交易行為皆為負相關，投信與自營商間為正相關。期市外資交易的變動對股市投信為正向影響，而對股市自營商為負向影響，此與Song et al.(2009)的結論大不相同。就臺灣股市與期市而言，雖然外資在基差增加時會買期賣現，但自營商行為較理智，外資在期市的行為只會正向影響股市投信採取反向套利策略，對臺灣股市與期市仍構不上威脅。

This paper is to investigate the behavioral relationships and cross-market interactons of institutional investors in Taiwan stock and futures markets based on vector autoregressive model (VAR) and generalized impulse response function. The data consist of the Taiwan stock index prices, Taiwan stock index futures prices, and the trading volumes of institutional investors from July, 2007 to March, 2010. This paper employs to investigate the cross market relationships of institutional investors among the stock and futures market. The empirical results indicate that foreign investors and dealer are negative feedback traders in stock market. In futures market, investment trust are positive feedback traders and foreign investors are negative feedback traders. When the stock prices and the basis grows, foreign investors tend to buy futures and sell stocks; The selling action of foreign investors in futures market only induces domestic investment trust to engage in the reverse cash-and-carry trade. This results is not consistent with conclusions of Song(2009). When basis increases, foreign investors will significantly buy futures contracts and sell stocks simultaneously. Meanwhile, the behavior of foreign investors affect the domestic investment trust to adopt a reverse arbitrage strategy, but it is not significant.

目錄
頁次
目錄 I
表目錄 II
圖目錄 III
第一章  緒論
第一節  研究背景與動機 1
第二節　研究目的 7
第三節　研究流程 7
第二章　文獻探討
第一節　投資人交易行為的理論 9
第二節　投資人交易行為對報酬影響的理論 12
第三節　相關文獻 15
一、投資人交易行為之實證 15
二、機構投資人交易行為對市場報酬的影響性與互動關係之實證 22
三、公開資訊與市場報酬的關連性 29
四、期貨與現貨關聯性之探討 34
第四節　本章小結 38
第三章　資料與研究方法 
第一節　資料來源 41
第二節  變數的衡量 41
第三節　實證方法 44
一、單根檢定 44
二、二項式檢定 50
三、Granger因果關係檢定 51
四、同期因果關係 53
五、向量自我迴歸模型 54
六、一般化衝擊反應函數 56
第四章　實證結果分析
第一節　敘述統計量分析 60
第二節　單根檢定 62
第三節　二項式檢定 63
第四節　Granger因果關係檢定 63
第五節　同期因果檢定 75
第六節　因果關係檢定結果綜合分析 82
第七節　向量自我迴歸模型 86
第八節　一般化衝擊反應函數 100
第五章　結論與建議	
第一節　結論 115
第二節　建議 116
參考文獻 118


表目錄
頁次
表1-1 臺灣股市集中市場各類投資人成交金額統計表 2
表1-2 國內期貨交易概況明細 3
表1-3 臺灣股市集中市場法人交易概況表 4
表1-4  2004-2009年度各期貨契約商品年成交量統計 6
表4-1 變數敘述統計量 61
表4-2 各變數之單根檢定 62
表4-3 二項式檢定結果 63
表4-4 三大法人淨買入比總合與各變數的Granger因果關係檢定 64
表4-5 個別三大法人淨買入比與各變數的Granger因果關係檢定 68
表4-6 臺指與臺指期貨個別三大法人淨買入比的Granger因果關係檢定 71
表4-7 各變數間Granger因果關係檢定結果 73
表4-8 三大法人淨買入比總和與各變數同期因果檢定 76
表4-9 個別三大法人淨買入比與各變數同期因果檢定 77
表4-10 臺指與臺指期貨個別三大法人同期因果檢定結果 79
表4-11 各變數間同期因果檢定結果 80
表4-12 向量自我迴歸模型最適落後期數檢定(一)  87
表4-13 向量自我迴歸模型參數估計與檢定分析(一)  87
表4-14 向量自我迴歸模型最適落後期數檢定(二)  88
表4-15 向量自我迴歸模型參數估計與檢定分析(二)  89
表4-16 向量自我迴歸模型最適落後期數檢定(三)  90
表4-17 向量自我迴歸模型參數估計與檢定分析(三)  91
表4-18 向量自我迴歸模型最適落後期數檢定(四)  92
表4-19 向量自我迴歸模型參數估計與檢定分析(四)  93
表4-20 向量自我迴歸模型最適落後期數檢定(五)  95
表4-21 向量自我迴歸模型參數估計與檢定分析(五)  96
表4-22 向量自我迴歸模型最適落後期數檢定(六)  97
表4-23 向量自我迴歸模型參數估計與檢定分析(六) 98
表4-24 向量自我迴歸模型分析結果整理 99

圖目錄
頁次
圖1-1 研究流程 8
圖4-1 三大法人在單一市場的Granger因果關係示意圖 70
圖4-2 三大法人跨市場的Granger因果關係示意圖 72
圖4-3 三大法人跨市場的同期因果關係示意圖 79
圖4-4 三大法人淨買入比總和與各變數因果關係 83
圖4-5 個別三大法人與各變數因果關係 85
圖4-6 臺指報酬與臺指期貨報酬的一般化衝擊反應 101
圖4-7 臺指報酬與三大法人淨買入比的一般化衝擊反應 102
圖4-8 臺指期貨報酬與三大法人淨買入比的一般化衝擊反應 104
圖4-9 基差與三大法人淨買入比的一般化衝擊反應 106
圖4-10 三大法人對本身淨買入比的一般化衝擊反應 108
圖4-11 三大法人在單邊市場對其它法人淨買入比的一般化衝擊反應 110
圖4-12 三大法人對雙邊市場其它法人淨買入比的一般化衝擊反應 112

一、國內文獻
1. Hsu, H. and B. J. Lin (2002) ,“ The kinetics of the stock markets,” Asia Pacific Management Review, Vol. 7, No. 1, pp.1-24.
2. Yang Jack J.W. (2001), “The interrelationships among returns, institutional investors’ buy-sell difference and trading strategy in Taiwan’s OTC market,” Journal of Financial Studies, Vol.9, No.2, pp.67-89.
3. 王凱立與李昀薇(2005)，「台股指數現貨、期貨與選擇權市場交互動態關聯性之探討」，世新大學2005年行為財務學理論與實證研討會。
4. 朱冠瑋(2007)，「台灣股票市場中機構投資人交易策略與投資行為之研究」，實踐大學財務金融與保險研究所碩士論文。
5. 李松樵(2006)，「外資介入下台股現貨、台股期貨及摩根台股期貨之關聯性：VEC-GJR GARCH模型之應用」，國立台灣海洋大學應用經濟研究所碩士論文。
6. 李春安與賴藝文(2005)，「股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為之研究」，台灣管理學刊，第5卷第2期，231-266頁。
7. 李校德(2004)，「未平倉量與價格波動性之關聯性 」，淡江大學財務金融學系金融研究所碩士論文。
8. 卓效德(2004)，「投資人交易行為對台灣期貨市場之價格波動性與報酬率之影響」，中原大學會計研究所碩士論文。
9. 周宏傑(2006)，「國外機構法人對台灣股市之影響與交易策略研究」，輔仁大學金融研究所碩士論文。
10. 林彥均(2004)，「台股指數期貨未平倉量、市場深度與成交量互動之研究」，淡江大學財務金融學系碩士班碩士論文。
11. 林昭賢(2005)，「期貨交易者與期貨價格行為關係的三個議題探討」，國立成功大學企業管理學系碩博士班博士論文。
12. 林昭賢與許溪南(2004)，「期貨交易者之交易行為及績效之研究」，台灣管理學刊，第4卷第1期，107-122頁。
13. 林盈汶(2009)，「三大法人於台灣期貨市場之交易行為及其波動性關係之研究」，國立中正大學財務金融所碩士論文
14. 林哲鵬與黃昭祥(2006)，「機構投資人行為與台灣股市報酬的關聯性」，財務金融學刊，第14卷第3期，111-150頁。
15. 凃惠娟(2007)，「以DCC模型探討股價指數期貨與現貨」，大葉大學管理研究所博士班博士論文。
16. 柏婉貞與黃柏農(2007)，「台股指數貨與現貨市場日內報酬波動與交易量非線性行為之研究」，經濟研究，第43卷第2期，181-208頁。
17. 徐中琦與林皇瑞(2008)，「法人機構從眾行爲之研究－台灣股市外資與自營商之比較」，商管科技季刊，第9卷第2期，251-276頁。
18. 張阜民、李見發、陳郁菁與邱國欽(2009)，「台灣股價指數現貨、摩根台股指數現貨與摩根台股指數期貨之價格發現研究」，朝陽學報，第14期，411-440頁。
19. 許溪南、徐守德、郭玟秀與鄭麗慧(2007)，「外資介入對台股指數與指數期貨正逆價差之影響」，經濟研究，第43卷第1期，65-91頁。
20. 許鈺珮與廖彥豪(2005)，「三大機構投資人買賣超與台灣加權股價指數互動關係之研究」，證券櫃檯月刊，第114期，56-67頁。
21. 陳美吟(2003)，「類別交易者交易行為之研究─台灣期貨市場之實證」，成功大學企業管理學系碩博士班碩士論文。
22. 曾冠儒(2007)，「三大法人於台灣期貨市場未平倉部位之研究」，國立中正大學財務金融所碩士論文。
23. 黃于珍(1999)，「外資交易行為對台灣股市之影響」，輔仁大學金融研究所碩士論文。
24. 黃玉娟、黃珮鈴、梁心怡與黃詩雅(2004)，「台灣股價指數現貨與期貨價格領先 落後關係之探討—以TAIFEX與SGX-DT為例」，輔仁管理評論，第11卷第1期，125-152頁。
25. 黃玉娟與江宏儒(2003)，「股票市場從眾行為之探討：新興市場與已開發國家之比較」，交大管理學報，第23卷第2期，119-146頁。
26. 黃玉娟與李袁寬(2006)，「交易人部位與期貨報酬之動態關聯」，績效與策略研究，第3卷第1期，33-56 頁。
27. 黃莉青(2008)，「期貨市場三大法人之交易行為與台指期貨報酬之關聯性」，國立中央大學財務金融學系碩士在職專班碩士論文。
28. 楊維永(2001)，「機構投資人投資行為互動關係之探討」，國立中山大學財務管理學系研究所碩士論文。
29. 葉月女(2002)，「我國證券市場三大機構投資人與一般投資人對股市波動性影響之探討」，淡江大學財務金融研究所碩士論文。
30. 葉鳳琴(2002)，「三大法人投資行為與加權股價指數互動關係之探討」，淡江大學財務金融學系碩士在職專班碩士論文。
31. 詹錦宏與施介人(2005)，「台股指數現貨、期貨與選擇權價格發現之研究」，台灣金融財務季刊，第6卷第1期，31-51頁。
32. 趙延楷(2001)，「現貨指數報酬、基差走勢、未平倉合約數與外資交易行為之動態關聯探討」，國立高雄第一科技大學財務管理所碩士論文。
33. 劉炆明(2001)，「外資買賣超交易資訊對股價波動影響之研究」，中原大學企業管理研究所碩士論文。
34. 盧陽正、翁振益與方豪(2008)，「臺灣股市三大法人持股調整、群聚效應、回饋交易、串流行為與群聚之動量持續性」，管理與系統期刊，第15卷第4期，523-543頁。
35. 賴彥宏(2004)，「運用未平倉量至期貨技術分析之可行性」，淡江大學財務金融學系碩士班碩士論文。
36. 賴展慶(2001)，「三大法人投資行為對台灣股價指數影響之實證研究-Nonparametric Kernel Method之應用」，實踐大學企業管理研究所碩士論文。
37. 顧嘉展(2006)，「台灣期貨市場不同類型交易人行為之研究」，銘傳大學財務金融學系碩士在職專班碩士論文。

二、國外文獻
1. Akaike, H. (1973), “Information theory and an extension of the maximum likelihood principle,” In E. Parzen et al. (Ed.), Selected papers of Hirotugu Akaike, New York : Springer.
2. Asch, S. E. (1951), “Effects of group pressure upon the modification and distortion of judgments,” In H. Guetzkow (Ed.), Groups, Leadership and Men, Pittsburgh: Carnegie Press.
3. Bae, K. H., T. Yamada and K. Ito (2008), “Interaction of investor trades and market volatility: Evidence from the Tokyo stock exchange,” Pacific-Basin Finance Journal, Vol. 16, No. 4, pp.370-388.
4. Banerjee, A. V. (1992), “A simple model of herd behavior,” The Quarterly Journal of Economics, Vol. 107, No. 3, pp. 797-817. 
5. Bessembinder, H. and P. J. Seguin (1993), “Price volatility, trading volume, and market depth: Evidence from futures markets,” The Journal of Financial and Quantitative Analysis, Vol. 28, No. 1, pp. 21-39. 
6. Beveridge, S. and C. R. Nelson (1981), “A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle,” Journal of Monetary Economics, Vol. 7, No. 2, pp. 151-174.
7. Bhuyan, R. and M. Chaudhury (2005), “Trading on the information content of open interest:Evidence from the US equity options market,” Derivatives Use, Trading Regulation, Vol. 11, No 1, pp. 16-36.
8. Bikhchandani, S., D. Hirshleifer and I. Welch (1992), “A theory of fads, fashion, custom, and cultural change as informational cascades,” The Journal of Political Economy, Vol. 100, No. 5, pp. 992-1026. 
9. Billingsley, R. S. and D. M. Chance (1988), “The pricing and performance of stock index futures spreads,” Journal of Futures Markets, Vol. 8, No3, pp. 303- 318.
10. Chan, L. K. C. and J. Lakonishok (1993), “Institutional trades and intraday stock price behavior,” Journal of Financial Economics, Vol. 33, No. 2, pp. 173-199. 
11. Chang, E. C., J. W. Chang, and A. Khorana (2000), “An examination of herd behavior in equity markets: An international perspective,” Journal of Banking and Finance, Vol.24, No.10, pp. 1651-1679.
12. Chang, E., R. Y. Chou and E. F. Nelling (2000), “Market volatility and the demand for hedging in stock index futures,” Journal of Futures Markets, Vol. 20, No. 2, pp. 105-125.
13. Chatrath, A., R. Christie-David, K. K. Dhanda and T. W. Koch (2002), “Index futures leadership, basis behavior, and trader selectivity,” Journal of Futures Markets, Vol. 22, No. 7, pp. 649-677. 
14. Chen, N., C. J. Cuny and R. A. Haugen (1995), “Stock volatility and the levels of the basis and open interest in futures contracts,” The Journal of Finance, Vol. 50, No. 1, pp. 281-300. 
15. Christie, W. G. and R. D. Huang (1995), “Following the pied piper: Do individual returns herd around the market?” Financial Analysts Journal, Vol. 51, No. 4, pp. 31-37.
16. Close, N. (1975), “Price reaction to large transactions in the Canadian equity market,” Financial Analyst Journal, Vol. 31, No. 6, pp.50-57.
17. De Jong, D. N., J. C. Nankervis, N. E. Savin, and C. H. Whiteman (1992), “The power problems of unit root tests in time series with autoregressive error”, Journal of Econometrics, Vol. 53, No 1-3, pp. 323-343.
18. De Long, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann (1990), “Positive feedback investment strategies and destabilizing rational speculation,” The Journal of Finance, Vol. 45, No. 2, pp. 379-395. 
19. Dickey, D. A. and W. A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root,” Journal of American Statistics Association, Vol. 74, No. 366, 427-431.
20. Engle, R. F. and C. W. J. Granger (1987), “Co-integration and error correction: representation, estimation, and testing,” Econometrica, Vol. 55, No. 2, pp. 251-276.
21. Fama, E. F. (1970), “Efficient capital market：A review of theory and empirical work,” Journal of Financial, Vol.25, No. 2, pp.383-417
22. Ghysels, E. and J. Seon (2005), “The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea,” Journal of International Money and Finance, Vol. 24, No. 4, pp. 607-630.
23. Gleason, K. C., I. Mathur and M. A. Peterson (2004), “Analysis of intraday herding behavior among the sector ETFs,” Journal of Empirical Finance, Vol.11, No. 5, pp. 681-694.
24. Gould, J. S. (2003), “Comparing price, volume and open interest,” RJO Futures, Vol. 32, No.1, pp. 52-54.
25. Granger, C. W. J. (1969), “Investigating causal relations byeconometric models and cross-spectral methods,” Econometrica, Vol. 37, No. 3, pp. 424-438 
26. Granger, C. W. J. and P. Newbold (1974), “Spurious regressions in econometrics,” Journal of Econometrics, Vol. 2, No. 2, pp. 111-120.
27. Griffin, J. M., J. H. Harris and S. Topaloglu (2003), “The dynamics of institutional and individual trading,” The Journal of Finance, Vol. 58, No. 6, pp. 2285-2320. 
28. Gwilym, O. A. and M. Buckle (2001),“The lead-lag relationship between the FTSE100 stock index and its derivative contracts,” Applied Financial Economics, Vol. 11, No. 4, pp. 385-393.
29. Harris, L. and E. Gruel (1986), “Price and volume effects associated with changes in the S&P 500 list : new evidence for the existence of price pressures,” Journal of Finance, Vol. 41, No. 4, pp. 815-829.
30. Hong, H. and J. C. Stein (1999), “A unified theory of underreaction, momentum trading, and overreaction in asset markets,” The Journal of Finance, Vol. 54, No. 6, pp. 2143-2184. 
31. Iihara ,Y., H. K. Kato ,and T. Tokunaga (2003), “Investors’ herding on the Tokyo stock exchange,” International Review of Finance, Vol.2, No. 1, pp. 71-98. 
32. Kahneman, D. and A. Tversky (1979), “Prospect theory: An analysis of decision under risk,” Econometrica, Vol. 47, No. 2, pp. 263-291.
33. Kamesaka, A., J. R. Nofsinger and H. Kawakita (2003), “Investment patterns and performance of investor groups in Japan,” Pacific-Basin Finance Journal, Vol. 11, No. 1, pp. 1-22.  
34. Kearns, J. and P. Manners (2004), “The profitability of speculators in currency futures markets,” Working paper - Reserve Bank of Australia: Economic Research Department.
35. Keynes, J. M. (1936), The general theory of employment, interest and money, London: Macmillan.
36. Koop, G., M. H. Pesaran and S. M. Potter (1996), “Impulse response analysis in nonlinear multivariate models,” Journal of Econometrics, Vol. 74, No. 1, pp. 119-147.
37.Kraus, A., and H. R. Stoll (1972), “Parallel trading by institutional investors,” Journal of Financial and Quantitative Analysis, Vol. 7, No. 5, pp. 2107-2138. 
38. Kraus, A., and H. R. Stoll (1972), “Price impact of block on the New York stock exchange,” Journal of Finance, Vol. 27, No.3, pp.569-588.
39. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin (1992), “Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?” Journal of Econometrics, Vol. 54, No. 1-3, pp. 159-178.
40. Lakonishok, J., A. Shleifer and R.W. Vishny (1992), “ The impact of institutional trading on stock prices,” Journal of Financial Economics, Vol. 32, No. 1, pp. 23-43.
41. Liu, P. C. and J. Praschnik (1993), “The size of the nonstationary component and its effect on tests for unit roots,” Statistical Papers, Vol. 34, No. 1, pp. 83-88.
42. Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Berlin: Springer.
43. Malliaris, A. G., and J. L. Urrutia (1998), “Volume and price relationships: Hypotheses and testing for agricultural futures,” Journal of Futures Markets, Vol. 18, No. 1, pp. 53-72.
44. McQueen, G., M. Pinegar and S. Thorley (1996), “Delayed reaction to good news and the cross-autocorrelation of portfolio returns,” The Journal of Finance, Vol. 51, No. 3, pp. 889-919. 
45. Min, J. H. and M. Najand (1999), “A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea,” Journal of Futures Markets, Vol. 19, No. 2, pp. 217-232.
46. Montier, J. (2002), Behavior finance: Insights into irrational minds and markets, New Jersey: Wiley.
47. Nabeya, S. and K. Tanaka (1988), “Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative,” Annals of Statistics, Vol. 16, No. 1, pp. 218–235.
48. Nelson, C. R. and C. R. Plosser (1982), “Trends and random walks in macroeconmic time series : Some evidence and implications,” Journal of Monetary Economics, Vol. 10, No. 2, pp. 139-162.
49. Newey, W.K. and K.D. West (1987), “A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix,” Econometrica , Vol. 55, No. 3, pp. 703–708.
50. Nofsinger, J. R. and R. W. Sias (1999), “Herding and feedback trading by institutional and individual investors,” The Journal of Finance, Vol. 54, No. 6, pp. 2263-2295. 
51. Pesarana, H. H. and Y. Shin (1998), “Generalized impulse response analysis in linear multivariate models,” Economics Letters, Vol. 58, No. 1, pp. 17-29. 
52. Phillips, P. C. B. and P. Perron (1988), "Testing for a unit root in time series regression," Biometrika, Vol. 75, No.2, pp. 335-346.
53. Phillips, P.C.B. (1987), “Time series regression with unit roots,” Econometrica, Vol. 55, No. 2, pp. 277–301.
54. Reilly, F. K., and D. J. Wright (1984), “Block trading and aggregate stock price volatility,” Financial Analysts Journal, Vol. 40, No. 2, pp. 54-60.
55. Roope, M. and R. Zurbruegg (2002), “The intra-day price discovery process between the Singapore exchange and Taiwan futures exchange,” Journal of Futures Markets, Vol. 22, No. 3, pp. 219-240.
56. Said, S. and D. Dickey (1984), “Testing for unit roots in autoregressive - moving average nodels with unknown order,” Biometrika, Vol.71, No.3, pp.599-607.
57. Scharfstein, D. S. and J. C. Stein (1990), “Herd behavior and investment,” The American Economic Review, Vol. 80, No. 3, pp. 465-479. 
58. Scholes, M. S. (1972), “The market for securities: Substitution versus price-pressure and the effects of information on share prices,” The Journal of Business, Vol. 45, No. 2, pp. 179-211.
59. Schwarz,G. (1978), “Estimating the dimension of a model,” The Annals of Statistics, Vol. 6, No. 2, 461-464.
60. Schwert, W. (1989), “Test for Unit Roots: A Monte Carlo Investigation,” Journal of Business and Economic Statistics, Vol. 7, No.2, 147-159.
61. Shibata, R. (1976), “Selection of the order of an autoregressive model by Akaike’s information criterion,” Biometrika, Vol. 63, No. 1 (Apr., 1976), pp. 117-126.
62. Shiller, R. J. (1990), “Speculative prices and popular models,” The Journal of Economic Perspectives, Vol. 4, No. 2, pp. 55-65.
63. Shleifer, A. (1986), “Do Demand Curves for Stocks Slope Down?” Journal of Finance, Vol. 41, No. 3, pp. 579-590.
64. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance,  New York: Oxford University Press.
65. Shyy, G., V. Vijaraghavan and B. Scott-Quinn (1996) “A further investigation of the lead-lag relationship between the cash market and stock index futures Market with the use of bid/ask quotes: The case of France,” The Journal of Futures Markets, Vol. 16, No.4, pp. 405-420.
66. Sias, R. W. and L. T. Starks (1997), “Return autocorrelation and institutional investors,” Journal of Financial Economics, Vol.46, No.1, pp. 103-131.
67. Sims, C. (1980), “Macroeconomics and reality,” Econometrica, Vol. 48, No. 1, pp. 1-48.
68. Song, Y. R., Y. J. Yang and H. S. Oh, (2009)“Interaction between foreign and domestic investors in the Korean stock and futures markets,” Asian Economic Journal, Vol. 23, No. 2, 249–267.
69. Walter, A., and F. M. Weber (2006). “Herding in the German mutual fund industry,” European Financial Management, Vol. 12, No. 3, pp. 375-406.
70. Wang, C. (2002), “The effect of net positions by type of trader on volatility in foreign currency futures markets,” The Journal of Futures Markets, Vol. 22, No. 5, pp. 427-450.
71. Wang, C. (2003), “The behavior and performance of major types of futures traders,” The Journal of Futures Markets, Vol. 23, No. 1, pp. 1-31.
72. Watanabe, T. (2001), “Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market,” Applied Financial Economics, Vol. 11, No. 6, pp. 651-658.
73. Wermers, R. (1999), “Mutual fund herding and the time impact on stock prices,” Journal of Finance, Vol. 54, No. 2, pp. 581-622.
74. Working, H. (1953), “Futures trading and hedging,” American Economic Review, Vol.43, No. 3, pp. 314-343.