反向型ETF買賣超及指數期貨未平倉量淨變化對次日現貨報酬與波動之影響－非對稱GARCH模型於臺灣加權股價指數之應用

本文以加入外生變數的EGARCH模型，分析臺灣加權股價指數 (TAIEX) 對於前一個交易日三大法人臺股期貨未平倉量淨變化及元大台灣50反1 ETF買賣超的反應關係，主要貢獻是補足2019年至今國內期貨未平倉量的文獻缺口，以及首次將反向型ETF納入現貨模型進行分析。由ARMA(2,2)－EGARCH(1,1) 模型的配適成果可知，在樣本期間內，外資指數期貨未平倉量的淨增加，自營商指數期貨未平倉量的淨減少，以及外資反向ETF買賣超的淨減少，對於次日大盤報酬具有正向影響；而外資指數期貨未平倉量的淨增加，投信指數期貨未平倉量的淨增加，以及外資反向ETF買賣超的淨減少，對於次日大盤波動具有反向影響，亦即能減緩次日盤勢的平均振幅。 GJR-GARCH的穩健性測試，並未推翻主要模型的配適成果。此外，藉由前後兩個子樣本期間的對照，發現指數期貨未平倉量對大盤的解釋能力逐漸降低，於此同時，反向型ETF的解釋能力則顯著提升，顯示這兩種受到投資人青睞且功能部分相似的工具，隨著時間經過可能產生某種互補或替代關係。投資人利用指數期貨未平倉量和反向型ETF買賣超作為次日大盤預測的指標，應具有一定的參考價值，惟金融市場的結構隨時間不斷變化，在運用此量能指標進行投資決策時，仍須定期檢視其與大盤的反應關係是否維持。

關鍵字

指數期貨；未平倉量；反向型ETF ； EGARCH

並列摘要

This article uses the EGARCH model with exogenous variables to analyze the response of the TWSE Capitalization Weighted Stock Index (TAIEX) to institutional investors’ net change in open interest of TX futures and net buy/sell of Yuanta Daily Taiwan 50 Bear -1X ETF (00632R.TW) in the previous trading day. The main contribution is to fill in the literature gap of the open interest of domestic index futures from 2019, and the first time the inverse ETF is included in the spot model. According to the fitting results of the ARMA(2,2)－EGARCH(1,1) model, during the sample period, the net increase in foreign investors’ open interest in index futures and the net decrease in dealers’ open interest, and the foreign investors’ net sell in inverse ETF have a positive effect on the next day’s spot returns. The net increase in foreign investors open interest, the net increase in investment trusts’ open interest, and the foreign investors’ net sell in inverse ETF have a negative impact on the next day’s spot volatility. That is, it can slow down the average amplitude of the next day's market. The robustness test of GJR-GARCH did not reject the results of the main model. In addition, by comparing the two sub-sample periods, it is found that the explanatory power of the open interest of index futures on the spot market is gradually reduced. At the same time, the power of the inverse ETF has increased significantly, showing that these two tools with similar functions may have a complementary or substitute relationship. Investors use these indicators for the next day's forecast, which should have a certain degree of reference. However, the structure of the financial market continues to change over time. When using this quantitative indicator to make investment decisions, it is necessary to regularly review whether its relationship with the spot market is maintained.