機構法人期貨交易行為與台灣股價指數變動之關聯性的實證研究：高頻資料的分析

Futures Trading Behaviors of Institutional Investors and Stock Price Changes in Taiwan: An Analysis with High-Fquency Data

梁雅琪(Ya-Chi Liang)

指導教授 ： 邱建良 ； 白東岳

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00240

摘要

本研究主要探討台灣機構法人的期貨交易行為對現貨市場之影響，並著重股票報酬率及股價波動度的檢測，此外，本文透過研究買賣價差與不同交易人交易行為之間的關係，進一步分析市場深度的變化狀況，其實證結果希冀能提供主管機關及市場參與者不同之決策參考資訊。研究樣本選定台灣證券交易所發行量加權股價指數及台灣證券交易所發行量加權股價指數期貨，樣本期間則涵蓋2008年1月2日至2009年9月30日之每分鐘交易資料，而實證模型除了採用普通最小平方法外，本文進一步採用不同設定之GARCH模型進行檢測。
實證結果發現：股票波動度與現貨成交量增加期貨買賣價差，此現象可歸因於市場參與者資訊不對稱的因素所致，特別是自營商的期貨交易增加會使期貨買賣價差擴大，但投信與外資的交易和期貨買賣價差則呈現負關係。在現貨市場方面，現貨成交量和股票報酬率呈現顯著的負相關，現貨波動性與股票報酬率呈現顯著的正相關，亦顯示高風險伴隨著高報酬，另一方面，機構法人的期貨交易行為和股票報酬率呈現反向的關係，可能解釋之一是機構法人較一般投資人有資訊優勢，因此，現貨的交易資訊無法立即反應到相關股票價格上，股價將出現遞延現象。最後，機構法人的期貨交易行為和買賣價差、報酬率的波動均有顯著的關係。整合上述，相關所得結果將有助於提供主管機關制定政策及投資者訂定避險策略之市場分析。

關鍵字

機構法人 ； 買賣價差 ； 資訊不對稱 ； 波動度

並列摘要

This study mainly investigates the effects of trading behaviors of major institutional investors from Taiwan futures market on the spot market and focus on the bid-ask spread and spot market returns. In addition, we also further analyze the variations of market depth through examining the relationships between bid-ask spread and trading behaviors of different institutional investors. Our results will provide a well know to major authorities and market participants in deciding relevant policies. The sample selects the TWSE Capitalization Weighted Stock Index and the TAIFEX stock index futures, and the intraday data compiled over per minute trading information from January 2, 2008 to September 30, 2009. Our empirical models adopt different GARCH models except ordinary least squares method.
The empirical results show the evidence that both trading volumes and the volatilities of returns in spot market increases future spreads, and furthermore, falling in information asymmetries. In particular, the futures trading from dealer increases future spreads, but not found in foreign investors and investment trust companies. They have the negative relationships. In the spot market, the market trading volume presents significantly negative effect on the stock returns, and the positive relationship between the returns and volatilities is found in spot market. This clearly states the implication that highly investment risk will require highly expected returns. On the other hands, the trading of major institutional investors in futures market have opposite relationships with the spot market returns. One possible explanation is that the institutional investors, in general, usually hold high information advantage than individual investors. Therefore, when spot market does not immediately reflect to the market relevant information, stock price will appear lag phenomenon. Finally, the institutional futures trading present significant effects in the volatilities of both spreads and returns. In sum, our results provide some key information and implications, and the outcomes will aid to provide policy-makers and market investor in-depth analysis and understand in the decisions of policy and hedging strategy.

並列關鍵字

Institutional investors ； Bid-ask spread ； Information asymmetries ； Volatilities

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