三大法人交易行為對台指現貨與期貨報酬波動的影響

The Impacts of the Institutional Investors Trade Activity on volatility in Taiwan Stock and Futures Markets

廖進祥(Chin-Hsiang Liao)

指導教授 ： 邱建良

共同指導教授 ： 吳佩珊(Pei-Shan Wu)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00380

摘要

本研究旨從理論與實證角度，檢視三大法人交易行為對台指現貨與期貨報酬波動的影響之驗證，本文擬以雙變量GARCH模型進行分析，以充分掌握財務時間序列資料有波動叢聚的特性，來探討三大法人交易行為對台指現貨與期貨的影響，資料期間為 2007 年 7 月 2 日至 2017 年 8 月 25 日,以現貨與期貨市場各 2516 筆日資料。經實證結果後發現：
1. 外資現貨買賣超對台指期貨影響大於台指現貨。
2. 外資期貨多空交易契約金額淨額對台指期貨影響大於台指現貨。
3. 外資期貨多空未平倉契約淨額對台指期貨影響大於台指現貨。
4. 三大法人中，外資現貨買賣超對現貨和期貨影響大於投信與自營商。
5. 三大法人中，投信期貨交易(量)對現貨和期貨(價)影響大於外資
與自營商。
6. 三大法人期貨未平倉量與現貨和期貨(價)的關係為負向關係。

關鍵字

三大法人 ； 未平倉量 ； GARCH模型 ； 時間序列

並列摘要

The purpose of this study is to examine the impacts of the institutional investors trade activity on volatility in taiwan stock and futures markets from the theoretical and empirical perspectives. This paper intends to analyze the volatility clustering of the financial time series data by using a Bivariate GARCH model, and then discuss the impact of the institutional investors trade activity on volatility in Taiwan stock and futures markets.
The data period is from July 2, 2007 to August 25, 2017, with 2516 daily data in the Taiwan stock and futures markets. After the empirical results, it was found that:
1. The net buy/sell in Foreign stock has a greater impact on Taiwan futures market than Taiwan stock.
2. The long and short trade contracts of foreign trading in futures markets has a greater impact on Taiwan futures markets than Taiwan stock.
3. The long and short net open interest of foreign trading in futures markets has a greater impact on Taiwan futures markets than Taiwan stock.
4. Among the institutional investors, the net buy/sell of foreign trading in stock has a greater impact on stock and futures markets than the trust net and the dealers.
5. Among the institutional investors, the investment of the trust net in futures markets (quantity) has more influence on stock and futures markets (price) than foreign investment and the dealers.
6. The relationship between the open interest in the futures markets of the institutional investors and stock and futures markets (price) is negative.

並列關鍵字

Institutional investors ； Open interest ； GARCH model ； Time seris.

參考文獻

一、 中文文獻

1. 呂立偉 (2008)，台股三大法人交易資訊效率性與動能策略之探討，大葉大學，國際企業研究所，碩士論文。

2. 呂岳暘(2016)， 探討三大法人買賣超對股票報酬之影響，國立高雄大學，國際高階經營管理，碩士在職專班(IEMBA) ，碩士論文。

3. 邱馨儀(2010)，機構投資者投資行為與臺灣股市指數報酬率之互動關係，樹德科技大學，金融與風險管理系，碩士論文。

4. 吳宜庭(2010)， 外資對股市及匯市影響之經濟分析，中原大學，國際貿易研究所，碩士論文。