三大法人未平倉量與擇時能力之研究

A Study of Open Interest and Timing Ability of Three Institutional Investors

張榮森(Jung-sen Chang)

指導教授 ： 盧秋玲

國立臺灣大學/管理學院/國際企業學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.10943

摘要

台灣金融市場在逐步開放外資投資、投信設立及自營商投資買賣諸多法規鬆綁之後，至2012年為止，三大法人占台股成交值的比例將近三成，其中外資持有台股的比例已經高達32.62%，顯示其影響力與日俱增，甚至主導整個大盤及個股的漲跌，因此市場經常將三大法人的交易動向當成參考依據。
　　投資台指期不僅可以省去選股的困擾，同時又能以較低的交易成本進行交易，期交所為提高期貨市場的資訊透明度，自2008年4月7日起每日公佈三大法人的期貨交易資訊，從公佈的內容中可以推測出法人對未來趨勢的看法，若能從中衍生出一套跟隨法人腳步的交易策略，則有可能從中獲利。
　　本研究利用2007年7月2日至2012年12月28日間的台灣股價指數期貨日資料，研究三大法人的未平倉量與擇時能力，研究結果如下：
1.落後一期的三大法人未平倉口數淨額與漲跌點數呈現顯著正相關。
2.擇時能力：2007~2008年自營商較佳，2009年之後外資較佳，長期而言，外資較自營商與投信佳。
3.在不停損的情況下，以外資未平倉口數淨增量為多空訊號的交易策略獲利最佳。
4.停損操作並無法有效提升獲利。
5.在順勢操作下，以未平倉口數淨增量為多空訊號的交易策略最佳，但隨著市場逐漸變得有效率，交易策略的獲利能力逐漸下滑，但仍能賺取穩定獲利。

關鍵字

三大法人 ； 未平倉量 ； 擇時能力 ； 交易策略 ； 當日沖銷

並列摘要

Taiwan is gradually opening policy to three institutional investors, and their transaction volume is nearly to 30% of total market in 2012, among the foreign institutional investor hold 32.62% of market cap. It shows that their influence is growing up, even dominated the market. Investors often use three institutional investors` movement to be a reference.
　　To invest TAIEX futures can save the troubles of picking stocks and the transaction cost. Taiwan Futures Exchange announced to publish the daily three institutional investors transactional information of futures and options to improve the information transparency since April 7 in 2008. Investors can infer the trend of institutional investors from the daily information to make a following institutional investors trading strategy.
　　In this study, I used the TAIEX Future daily data to study the open interest and timing ability of three institutional investors from July 2, 2007 to 28 December, 2012. The results are as follows:
1. It is significant positive correlation between the three institutional investors` lag net open interest of and the points.
2. Timing ability: dealers were better in 2007 to 2008, and foreign investors were better after 2009. Foreign investors are better than dealers and trusts in the long run.
3. In the case of no stop loss, using foreign investors net change amount of open interest to be a long or short signal is the most profitable trading strategies.
4. Stop loss cannot effectively enhance profitability.
5. In the case of following market, using net open interest to be a long or short signal is the most profitable trading strategies, although the probability is gradually decline when the market becomes more efficient. But it still earns stable profit.

並列關鍵字

institutional investors ； open interest ； trading strategy ； timing ability ； day trading

參考文獻

6.廖仁傑(2010)，三大法人未平倉量與成交量對臺股期貨報酬之研究，淡江大學財務金融研究所碩士論文。

1. Akaike, H. (1973), Information Theory and an Extension of the Maximum Likelihood Principle, Budapest: Akademiai Kiado, pp. 267-281.

2. Dickey, D. and W. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, pp. 427-431.

3. Girma, P. B. and M. Mougoue, 2002. An Empirical Examination of the Relation between Futures Spreads Volatility, Volume, and Open Interest, Journal of Futures Markets, 22(11), 1084-1102.

5. Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross Spectral Methods, Econometrica, 37, 424-438.