台灣期貨交易者與市場報酬之互動關係

The Dynamics of Major Type of Traders in Taiwan Futures Market

林昭賢(Chao-Hsien Lin) ； 許溪南(Hsi-Nan Hsu)李宏志(Hung-Chih Li)

《財務金融學刊》 16卷3期 (2008/09) Pp. 149-172

https://doi.org/10.6545/JFS.2008.16(3).5

摘要

本研究的目的為了解在台灣期貨市場裡各交易者的互動關係，及其交易對期貨報酬的影響。實證發現外資與自營商為正向回饋交易者，散戶為反向交易者；交易者的交易流量與同期的期指報酬有顯著的相關，我們發現回饋交易與從眾行為能解釋這發現。在台灣期貨市場裡，平均而言散戶的影響力最大，其次依序為期貨自營商與外資，其中外資的操作策略深受散戶的影響，這與台灣股票市場的實證有顯著的差異；在資訊傳遞速度上，期貨市場的效率也較股票市場為弱，原因應是與市場成熟度有關。在各交易者對期指報酬的影響下，我們發現，外資與證券自營商的交易有助於期指報酬的均衡，然而期貨自營商對期指報酬的影響則不顯著，最後我們發現見散戶是台灣期貨市場的最大輸家。

關鍵字

回饋交易 ； 從眾行為 ； 預測誤差變異數分解 ； 衝擊反應函數 ； 市場時間能力

並列摘要

In this study, we investigate the dynamics of major type of traders in Taiwan futures market. The empirical shows that foreign investors and dealers are positive feedback traders, whereas individuals are contrarians. We also find a strong contemporaneous relation between the trading flows of traders and futures returns which can be explained by the feedback trading and herding behavior of traders. further, we find that individuals are the most influential traders in the Taiwan futures market and foreign investors are deeply influenced by these individuals. This finding indicates a significant difference from the Taiwan stock market. The speed of information transmission in futures market is also slower than in the stock market. This phenomenon can be explained by the relative newness of the Taiwan futures market when compared to the stock market. We also provide evidence that trades by foreign investors and security dealers speed up the futures price equilibrium process, whereas the price impact of future s dealers is inconclusive. Lastly, evidence shows that individuals are the biggest losers in the Taiwan futures market.

並列關鍵字

Feedback trading ； herding behavior ； decomposition of forecast error ； impulse response function (IRF) ； market timing ability

參考文獻

林美珍、馬麗菁(2002)。投資機構交易資訊與市場報酬之互動關係。證券市場發展季刊。14(3)，113-143。

林昭賢、許溪南(2004)。期貨交易者之交易行為及績效之研究。台灣管理學刊。4(1)，170-122。

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