- 學位論文
外資和本土法人對台灣指數期貨開盤價格影響力之研究
A Research in Foreign and Domestic Institutional Investors’ Influence on The Opening Price of Taiwan Index Futures
摘要
本國期貨盤前委託單來源以散戶、外資、自營商及其他國內機構法人下單為主，本研究以外資及本土法人為研究對象，觀察其在指數期貨中之台股期貨、電子期貨及金融期貨開盤價之影響，並探討與委託單不平衡之關聯。實證結果發現，本土法人較外資積極於盤前委託，且本土法人及外資均較偏愛在台指期貨市場中下單。本土法人於三種商品中，開盤價影響力皆大於外資，其中又以在金融期中影響力最大，其次為電子期及台指期。外資於電子期中影響力最大，其次是金融期及台指期。外資及本土法人之委託單不平衡在三種商品中對各自開盤價均有顯著影響力，且影響是正向的，表示機構投資人委託單越不平衡，對其開盤價影響力越大。
並列摘要
Taiwan's pre-open futures orders come primarily from retail, foreign investment, dealers, and other domestic Institutional investors. This study focuses on foreign and domestic Institutional investors and examines their effect on the opening prices of index futures; Taiwan stock index Futures, Taiwan electronic index futures, and Taiwan financial index futures. In addition, we explore the relationship between order imbalance and these three markets. Empirical data states domestic Institutional investors are more active in pre-market orders as compared to foreign institutional investors. Additionally, both foreign and domestic Institutional investors prefer placing orders with Taiwan stock index futures. Domestic institutional investors have a greater influence on the opening prices of the three stated futures markets than foreign investment. The greatest influence being on Taiwan financial index futures, followed by Taiwan electronic index futures then Taiwan stock index futures. Foreign institutional investors have the most influence on electronics futures, followed by Taiwan financial index futures and Taiwan stock index futures. Orders from foreign and domestic institutional investors have an obvious influence on opening prices but the amount of influence differ between the three markets. This is a positive correlation, meaning the greater order imbalance, the greater the influence.