外資介入對台股指數與指數期貨正逆價差之影響

The Impact of Foreign Capital on the Basis between Taiwan Stock Market and Futures Market

許溪南(Hisnan Hsu) ； 徐守德(David Shyu) ； 郭玟秀(Wen-Hsiu Kuo)鄭麗慧(Leapfoi Tee)

《經濟研究》 43卷1期 (2007/01) Pp. 65-91

https://doi.org/10.29765/TEI.200701.0003

摘要

本文旨在探討外資是否憑藉著優越的資訊，影響台股指數期貨與現貨間的正（逆）價差。回顧台灣期交所成立之初，期貨價格的發現功能不彰。外資被禁止在期貨市場上交易，無法影響正（逆）價差。而開放後，外資對於台股指數期貨與現貨間正（逆）價差的影響，逐漸顯現。本研究由理論上導出影響正（逆）價差的因素，並以此理論模式來分析影響正（逆）價差的變異程度。實證結果顯示，外資在現貨市場的買、賣超在開放前對於正逆價差的影響並不顯著，但開放後卻達1%顯著水準。

關鍵字

股價指數期貨 ； 外資 ； 期貨價差 ； 資訊傳遞

並列摘要

The purpose of this paper is to investigate whether institutions of foreign capital take advantage of excellent information to trade between spot and futures market in Taiwan and, hence, to influence the basis between futures and the underlying spot asset prices. Retrospectively, the price discovery was not functioned during early establishment period of the TAIFEX. Foreign institutional investors were banned to trade futures at the TAIFEX since the introduction of TAIFEX stock index futures, although they are allowed to trade futures later. This paper derives theoretical factors that influence the basis between futures and the underlying spot asset prices, and then using this theoretical model to analyze the variation of basis. Empirical results indicate that the net long (short) position of foreign capital in the spot market, were changing from non-significance during the first sub-period into the 1% level of significance in the second sub-period in influencing the basis between futures and the underlying spot asset prices.

並列關鍵字

Stock Index Futures ； Foreign Capital ； Futures Basis ； Information Transmission

參考文獻

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