應用層級分析法探討期貨日內交易決策因子之研究－以台指期貨為例

Research on Factors of Decision Making for Intra-day Trading of Futures Using Analysis Hierarchy Process-An Example of Taiwan Stock Indexes

吳振鋒 ； 陳品璋 ； 傅宇亨 ； 藍毓華

《管理資訊計算》 2卷2期 (2013/12) Pp. 138-150

https://doi.org/10.6285/MIC.2(2).11

摘要

期貨是台灣金融市場中成交量最高的商品。如何分析市場上充斥的各種訊息對期貨價格的影響，進而做出投資決策，對所有投資人來說是最重要的議題，因此必需花費許多的時間與心力去鑽研，才能趨利避險。本研究旨在當日沖銷不留倉之條件下，研擬出期貨投資決策影響因子之評估指標，透過層級分析法歸納相關因素與權重，歸納分析評選相關重要指標因子權重，並以此為依據，針對四種投資策略進行實證分析，根據研究結果顯示策略一為最適當之投資策略。而本研究除提供一套客觀有效之評估準則供投資者參考外，亦做出適當的投資建議，進而協助投資者達到財富累積的目的。

關鍵字

期貨 ； 當日沖銷 ； 日內交易 ； 層級分析法

並列摘要

Futures are with the highest volume of transaction in Taiwan financial markets. It is the most important issue for all investors to think about how to analyze the impact of various messages flooded in the markets on the futures price and then to make investment decisions.It is necessary for the investors to spend lots of time and efforts to delve into the answers so that the investors can reduce risks and get benefits. The purposes of this study are to develop the assessment indicators of impact factors for futures investments under the condition of intra-day trading. The researcher generalized some related factors and weights through analytic hierarchy process (AHP). Then the researcher found the important weights of indicative factors. Based on these important weights to analyze four categories of invest strategies. According to the analyses, the first strategy is the most appropriate one. Finally, this research not only provides an objective and effective selection criteria but also the fairest advice for the futures investors to help the investors accumulate their wealth.

並列關鍵字

Futures ； when red ； intra-day trading ； analysis hierarchy process (AHP)

參考文獻

廖仁杰(2009)，「三大法人未平倉量與成交量對臺股期貨報酬之研究」，江大學財 務金融學系碩士論文。

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