- 學位論文
大額交易人未平倉量與股票期貨契約報酬率之關聯性-以臺灣期貨市場為例
The Relationship Between Open Interest of Large Traders and Single Stock Futures Contract Return: Evidence from the Taiwan Futures Exchange
摘要
根據世界交易所聯合會(The World Federation of Exchanges)統計，截至2023年8月臺灣個股期貨市場單月與當年累積的交易名目價值已達世界第三，顯現臺灣市場個股期貨於蓬勃發展的趨勢，也是在2022空頭年少數該商品維持成長的國家。此外，期交所2021年營業報告書顯示，在所有臺灣期貨商品中，近年來成長表現最亮眼的是股票期貨（含ETF），2021年交易量為7,572萬6,437口，較2020年大增183.06％，呈翻倍式的成長。在這樣一個新興起的個股期貨市場，必然會吸引許多市場參與者加入。在個別公司資訊優勢者中，可能不限於三大法人，擁有個別公司資訊的內部人或其他團體也是，他們可能會是法人或自然人，並且具有透過衍生性商品市場進行買賣以規避法規限制的動機。綜觀所有國內外文獻，對於此議尚未有深入的研究分析，因此本文想深入探討大額交易人未平倉量與股票期貨契約報酬率之關聯性，達到承先啟後的效果，為後續個股期貨實務研究開創出嶄新風貌。本研究透過對臺灣期交所2010年1月1日至2023年10月2日間，140檔個股期貨契約共402636筆資料的分析，得出以下兩大結論： 一、大額交易人與台灣個股期貨市場報酬率的關係： 研究發現，僅有前十大特定法人（TSS）在到期日前五天呈現10%顯著水準下的顯著性，暗示這些法人可能因在結算日前需轉倉避險，而在到期日前進行特定操作。其他大額交易人與個股期貨報酬率之間沒有顯著關聯，可能是由於市場資訊反應的混亂與不充分。此外，衝擊反應函數分析表明，臺灣個股期貨市場長期存在被低估的情況。 二、流動性與成交量加權投資組合報酬的關係： 在臺灣個股期貨市場中，流動性指標作為先行指標，能迅速預示未來報酬的變化，且通常會先在價格變動之前反應出市場的變化。當投資組合報酬率出現衝擊時，流動性也會受到正向影響，表明報酬率的變化與市場流動性緊密相關。
並列摘要
According to statistics from The World Federation of Exchanges, as of August 2023, Taiwan's single stock futures market has reached the third highest in the world in terms of monthly and cumulative trading value for the year, highlighting the booming trend of Taiwan's stock futures market. It was also one of the few countries where this commodity maintained growth during the bearish year of 2022. Moreover, according to the 2021 annual report of the Taiwan Futures Exchange, stock futures (including ETFs) in Taiwan have shown the most remarkable growth in recent years. The trading volume in 2021 was 75,726,437 contracts, a significant increase of 183.06% compared to 2020, indicating a doubling in growth. In such an emerging individual stock futures market, it will inevitably attract many market participants. Among them, not only the three major institutions but also insiders with individual company information or other groups may be involved. They could be institutions or individuals with the motivation to use derivative markets to circumvent regulatory restrictions. Considering the lack of in-depth research and analysis on this issue in both domestic and international literature, this study aims to delve into the relationship between large traders' open interest and the return rate of stock futures contracts, creating a new landscape for subsequent practical research in individual stock futures. This study, through an analysis of 402,636 data entries for 140 individual stock futures contracts traded on the Taiwan Futures Exchange from January 1, 2010, to October 2, 2023, arrives at the following two major conclusions: 1.The relationship between large traders and the return rate of Taiwan's individual stock futures market: The study finds that only the top ten specific institutions (TSS) show significance at the 10% level in the five days before expiration, suggesting that these institutions may perform specific operations before expiration due to the need to hedge their positions. There is no significant correlation between other large traders and the return rate of individual stock futures, possibly due to insufficient market information reflection. Additionally, the impulse response function analysis indicates that the Taiwan individual stock futures market has been undervalued for a long time. 2.The relationship between liquidity and the return of volume-weighted investment portfolios: In Taiwan's individual stock futures market, liquidity indicators, as leading indicators, can quickly predict future return changes, usually reflecting market changes before price movements. Moreover, when the portfolio return rate experiences a shock, liquidity is also positively affected, indicating that changes in return rate are closely related to market liquidity.