- 期刊
國安基金干預成效與期貨交易人過度反應
The Intervention of NFSF and the Overreaction of Traders in the Futures Market
摘要
民國89年10月國安基金首次干預期貨市場，其目的為拉抬期貨形成超額正價差，引導現貨價格上漲。本研究探討期貨交易人對於國安基金的過度反應，是否為此次國安基金沒有達成政策任務的原因。更明確地說，當國安基金干預產生超額正價差時，期貨交易人是否會過度反應此「人為」的訊號，而在隨後修正造成價格反轉，使得政策效果不如預期。本研究的實證結果發現，當國安基金實際干預造成超額正價差，則隨後的期貨報酬顯著為負，而且超額正價差的幅度愈大或干預的規模愈大，隨後的價格反轉幅度也愈大。本研究進一步發現，國安基金買進干預所引發期貨價格反轉的速度，比賣出干預時慢。最後，不管是買進干預或賣出干預，隔日期貨收盤價均呈現反轉，而且還低於干預時的價格，因此本研究認為交易人的過度反應使得政策效果不如預期。
並列摘要
In October 2000, the National Financial Stabilization Fund (NFSF) unprecedentedly intervened to raise the TAIEX futures price in relation to the cash index. Based on the close linkage between cash and futures prices, the ultimate goal of the intervention was to induce an upsurge in the stock index through market traders' efforts. It was, however, soon proven to be a vain attempt. This paper investigates whether the overreaction of traders to the market prices caused the failure. Specifically, the primary concern is to see if futures traders overreacted to the overpriced futures price created by the NFSF intervention and then made subsequent corrections so that the futures price reverted to its fair value. We find that the overpriced futures price caused by the NFSF intervention tends to be followed by a decline in futures price, resulting in negative futures return for the rest of that day and the next day. The magnitude of the subsequent price reversal is positively related to the size of the price jump and the volume of trade induced by the NFSF intervention. Furthermore, the price reversal following the NFSF buying intervention occurs sooner than that following the NFSF selling intervention. Finally, for both buying and selling interventions, the next-day futures closing price reverts to a level even below the pre-intervention price. The findings of the study suggest that the overreaction of futures traders may have an adverse effect on the NFSF intervention.
參考文獻
延伸閱讀
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