- 學位論文
基差偏態對臺指期貨價格之預測能力 是否受交易人結構之影響
Can skewness of the basis predict in TAIEX futures returns and is it influenced by the trading structure?
摘要
本研究主要探討基差偏態對臺指期貨價格之預測能力是否受交易人結構之影響，本文根據Jiang, X., Han, L., Yin, L. (2019). 作為理論基礎套用於臺灣加權股價指數期貨，發現基差偏態對臺指期貨報酬率具有顯著的預測能力，並呈現負向的顯著關係，這與Jiang et al.(2019)的研究結果相符，進一步探討交易人結構下基差偏態對期貨價格的預測能力，為了研究嚴謹性分正向與逆向市場並額外加入情境變數交易人結構成交量占比，以觀察在交易人結構成交量占比的情況下，基差偏態的預測能力是否受到影響。 研究結果顯示在全市場與逆向市場裡交易人結構的外資與散戶對基差偏態的預測能力，皆呈現顯著的負向關係，表示會因交易人結構比例高低進而影響基差偏態的預測能力。
並列摘要
This study primarily examines whether the predictive ability of basis skewness on TAIEX futures prices is influenced by the market participant structure. Based on Jiang, X., Han, L., Yin, L. (2019), which serves as the theoretical foundation applied to Taiwan Weighted Stock Index futures, it was found that basis skewness has a significant predictive ability on TAIEX futures returns and exhibits a significant negative relationship. This finding aligns with the results of Jiang et al. (2019). Further investigation explores the predictive ability of basis skewness on futures prices under different market participant structures. To ensure the rigor of the research, both positive and negative market scenarios are considered, and an additional situational variable, the proportion of trading volume representing the market participant structure, is included to observe whether the predictive ability of basis skewness is affected. The research results show a significant negative relationship between the predictive ability of basis skewness and the market participant structure of foreign investors and retail investors in both the overall market and the negative market scenario. This indicates that the predictive ability of basis skewness may be influenced by the proportion of market participant structure.