本文以三大法人在臺股期貨與臺指選擇權總未平倉量作為門檻變數,探討在COVID-19前後期間對加權指數影響,從西元2019年8月6日至2020年7月7日,共236筆日資料觀察值,研究模型以Granger and Teräsvirta (1993)和Teräsvirta (1994)所提出的平滑移轉自我迴歸模型檢定方法(Smooth Transition Autoregression, STAR),以非線性的角度切入探討三大法人在臺股期貨與臺指選擇權總未平倉量多寡的不同,對加權指數所產生的不同衝擊。 實證結果發現,研究模型設定為邏輯型平滑移轉自我迴歸(LSTAR)函數模型,進一步得到在 COVID-19前三大法人臺股期貨與臺指選擇權總未平倉量在9999.4412口呈現顯著門檻值,而 COVID-19後三大法人臺股期貨與臺指選擇權總未平倉量在-56182.9098口呈現顯著門檻值,亦即三大法人臺股期貨與臺指選擇權總未平倉量小於門檻值,或大於門檻值,呈現兩個不同區間,最後,無論在門檻值之上或之下,COVID-19前,唯有外資臺指選擇權未平倉量呈現顯著狀態,亦即說明著在COVID-19前,加權指數漲跌可以依據外資佈局在選擇權市場的前一日籌碼,來反向操作;COVID-19後,唯有自營商臺指選擇權未平倉量呈現顯著狀態,亦即說明著在COVID-19後,加權指數漲跌可以依據自營商佈局在選擇權市場的前六日籌碼,來反向操作。
This article uses the total open interest of the Three Institutional Investors in the TAIEX Futures and TAIEX Options as the threshold variable to discuss the impact on the changes in the Taiwan Stock Index before and after COVID-19. This study applies the non-linear methodology of smooth transition autoregressive model (STAR) elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) to investigate the total open interest of the Three Institutional Investors in the TAIEX Futures and TAIEX Options have different impacts on the Taiwan Stock Index. The sample period adopted is from August 6, 2019 to July 27, 2020, which has totally 236 observations. The study result shows that the appropriate model to be adopted should be the LSTAR model and the threshold value of the total open interest of the Three Institutional Investors in the TAIEX Futures and TAIEX Options is significantly found to be 9999.4412 lots and -56182.9098 lots, which reprents before COVID-19 and after COVID-19, respectively. Futher Observing whether above or below the threshold, which indicates two regimes. Finally, before COVID-19, only the open interest of Qualified Foreign Institutional Investor in the TAIEX Options shows significant impact the Taiwan Stock Index, which means that before COVID-19, the rise and fall of the Taiwan Stock Index can be countered based on the previous day’s chips of QFII in the TAIEX Options to reverse the operation; after COVID-19, the rise and fall of the Taiwan Stock Index can be countered based on the chips of Dealer of the six days ago in the TAIEX Options to reverse the operation.