並列摘要
This dissertation contains two essays on Investments. Main discussions are about market timing ability and currency hedging strategies. The chapter 2 is entitled as “Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market”. This essay contributes: (1) introducing a new measure for assessing high-frequency trading skill and (2) validating the intuition that significant alpha can be harvested by active investors in retail-dominated markets. The chapter 3 is entitled as “Major Taiwan Pension Funds’ International Investments and Currency Hedging Strategies”. This essay demonstrates a model to determine currency hedging strategies and suggests that managers of pension funds do not need to hedge USD exposure. This suggestion differs significantly from managers’ intuition and current practice.