三大法人在期貨與選擇權市場佈局對台股報酬之平滑移轉非線性研究

The Nonlinear Study of Smooth Transition on the Effect of Three Institutional Investors' Futures and Options Trading Activities on Taiwan Stock Return

劉力瑜(Li-Yu Liu)

指導教授 ： 聶建中

共同指導教授 ： 沈中華(Chung-Hua Shen)

淡江大學/商管學院/財務金融學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00926

摘要

本文係研究三大法人在期貨與選擇權市場的未平倉資料進行分析，期貨部位以未平倉多空淨口數進行分析，而選擇權由於分為價平、價內以及價外，因此使用未平倉多空淨契約金額進行分析，探討三大法人在期貨與選擇權市場的佈局對股價指數報酬是否存在非線性之影響，以期能作為投資策略的參考依據。
　　本文以期貨交易量作為門檻變數，探討三大法人在不同期貨交易量能大小下，期貨與選擇權的未平倉部位對股價指數報酬之影響，實證結果發現，當期貨交易量小於門檻值時，三大法人的期貨未平倉多空淨口數與股價指數報酬為正向關係，但是當期貨交易量大於門檻值時，則無法解釋三大法人對股價指數報酬之影響；然而當期貨交易量小於門檻值時，外資的未平倉多空淨金額與股價指數報酬為正向關係，自營商與投信均無法解釋對股價指數報酬之影響，當期貨交易量大於門檻值時，自營商的未平倉多空淨金額與股價指數報酬為正向關係，外資與投信無法解釋對股價指數報酬之影響。

關鍵字

三大法人 ； 未平倉量 ； 平滑移轉模型

並列摘要

The main idea of this thesis is to analyze major institution investors’ open interest in Taiwan futures and option market. We use net open interests as analysis tool for futures and net amount of contracts as analysis tools for option. We examined whether the positions of institution investors in futures and option markets will have nonlinear impacts on stocks index returns in order to provide references for succeeding studies. We used futures trading volumes as a threshold variable to describe how futures and option open interests of institution investors affected the stocks index returns. The empirical results pointed out the positive relations between futures net open interests and stocks index returns as the volumes below threshold value. However, we couldn’t make it clear as the volumes above it. In option market, when the volumes is below threshold value, foreign investors’ net amount of open interest has positive effect on stocks index returns; when the volumes is above threshold value, Dealer’s open interest has positive impact on stocks index returns.

並列關鍵字

Three Institutional Investors ； Open Interest ； Smooth Transition Model

參考文獻

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