三大法人未平倉量與成交量對臺股期貨報酬之研究

The Impact of Open Interest and Volume of Three Institutional Investors on the Return of TAIEX Futures

廖仁杰(Jen-Chieh Liao)

指導教授 ： 陳玉瓏

共同指導教授 ： 李彥賢

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00457

摘要

近年來臺灣的經濟發展迅速，金融商品不斷推陳出新，期貨交易已是台灣市場重要的投資以及避險工具；國際熱錢流動頻繁，在台灣地區形成獨特的投資環境，三大法人機構：外資、自營商、投信成為影響臺灣股市的重要指標。本文中以2007年7月2日至2010年3月25日臺灣期貨交易所的臺股期貨與三大法人的交易資訊為研究標的，利用平滑移轉自我回歸模型估計三大法人交易資訊對於期貨報酬的影響。在本研究中同時採用三大法人的期貨交易量與未平倉量作為模型估計的變數，並加入多空單的因素，相較於只採取交易量或是未平倉量，希望可以獲得更準確預測結果，讓投資人在期貨市場量能放大或是縮小時，可以透過觀察三大法人期貨動向獲得更好的投資報酬。實證結果發現，期貨市場量能小的時候，外資多空未平倉淨口數變動率與期貨報酬呈負向關係，自營商多空成交淨口數變動率與期貨報酬呈負向關係，投信則是多空成交、未平倉淨口數變動率與期貨報酬分別呈現負向與正向關係。期貨市場量能大的時候，外資多空成交、未平倉淨口數變動率與期貨報酬都呈現正向關係，自營商多空成交淨口數變動率與期貨報酬呈正向關係，投信則是多空成交、未平倉淨口數變動率與期貨報酬分別呈現正向與負向關係。

關鍵字

期貨 ； 三大法人 ； 成交量 ； 未平倉量 ； 平滑移轉自我回歸模型

並列摘要

In recent years Taiwan's economic development is rapid, the financial commodity Promotes unceasingly, and futures already have became important invest and hedge tool in the Taiwan market. The international capital flowing is frequently in taiwan,forms three institutional investors: foreign investors, dealer and investment trust. In this article takes the TAIFAX's TAIEX futures with three institutional investors's transaction information as the research object, using smooth transition autoregressive model to analyze that the open interest and volume of three institutional investors effect the return of TAIEX futures.
The empirical results discover there are different performance in TAIEX futures return, because of the three institutional investors trading impact. When the trade quantity small, the open interest of the foreign investors、the volume of the dealer and the open interest of the investment trust have negative effects to the TAIEX futures return; the volume of the investment trust have positive effects. When the trade quantity big, the open interest of the foreign investors and investment trust have positive effects to the TAIEX futures return; the volume of the foreign investors and dealer have positive effects. The volume of the investment trust have negative effects to the TAIEX futures return.

並列關鍵字

Future ； Three Institutional Investors ； Volume ； Open interest ； Smootth Transition Autoregressive ； STAR

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