Using Mixture Copula to Study the Extreme Return Volume Dependence of the Institutional Investors in the Taiwan Stock Market

Mixture copula models are used to study the relationships of extreme return and stock turnover rates of the foreign institutional investors, mutual funds and dealers in Taiwan. A transformation function is introduced in this paper to study the trading volume increment during extreme negative return condition. The results show that dealer has the highest trading volume increases both during extreme positive return and negative return periods. Comparing with foreign institutional investor, mutual fund has the higher trading increase during extreme positive return period. Comparing with mutual fund, foreign institutional investor has higher trading increase during extreme negative return period. The extreme stock market return has asymmetric impacts on the trading volume increment.