高交易量散戶在臺灣期貨市場的獲利能力佳嗎？

臺灣期貨市場在日內資料取樣期間 (2009年7月至2012年11月)，臺灣股指期貨 (TX) 散戶占全市場交易量65.49%，而整體散戶常被稱為雜訊交易者，但本文發現小部分交易量高的散戶其投資報酬率可媲美外資機構，其可能是臺灣對自然人的資本利得不課稅，來自期貨自營商等法人機構的退休人員或代客操作之本地地下投資公司借用人頭戶的‟假散戶”。因此，本文以期貨價格分解、委託簿不平衡、一階自我相關等文獻，分析TX高交易量散戶 (High-trading Retail Investors, HRI) 之交易量在TX的獲利能力。文中依約占散戶每日交易量10%，並依大小排序分成10組，最前面之第1組成員最少，此組之散戶即本文之HRI。由HRI與二外資之買進交易量與賣出交易量迴歸結果一致及二外資有超額報酬，推證HRI的獲利能力為佳，另在上漲期及下跌期、小型TX、不同時間區間等不同取樣檢定下，對永久性價格之迴歸結果均呈一致，此結果顯示HRI交易量，在臺灣期貨市場有好的獲利能力。

關鍵字

期貨市場；委託簿不平衡；高交易量散戶；獲利能力

並列摘要

Over the period in which intraday data of Taiwan’s futures market were sampled (July 2009–November 2012), Taiwan’s Equity Index Futures (TX) retail investors accounted for 65.49% of the total market trading volume, and retail investors were generally considered noise traders. However, this study found that a small portion of high-trading retail investors (HRI) earned a comparable return on investment to that of foreign companies. This phenomenon is probably because capital gains of natural persons in Taiwan are not taxed, resulting in “fake retail investors” whose nominee accounts are borrowed by retirees from institutional agencies such as proprietary traders of futures or local underground investment companies that manage investments on behalf of clients. Therefore, this study reviewed literature regarding futures price decomposition, order imbalance, and first-order autocorrelation to analyze the profitability of HRI in terms of their TX trading volume. In this paper, retail investors were divided into ten groups according to 10% of retail investors’ daily trading volume and number of investors. The first group comprised the least number of retail investors, and they are the high-trading retail investors in this study. Given that the regression results of buying and selling volumes for HRI and two foreign companies are the same and that the two foreign companies reported excess returns, this study verifies whether HRI presented favorable profitability. Moreover, the regression results of permanent prices are consistent for all sampling periods (i.e., the price-increase period, price-drop period, mini TX, and different time intervals). This result indicates that the trading volume of HRI yielded favorable profitability in Taiwan’s futures market.