投資人交易行為對台灣期貨市場之價格波動性與報酬率之影響

The Impact of Investors Transaction Activity on Return and Volatility of Prices in Taiwan Futures Market

卓效德(Shi-Da Cho)

指導教授 ： 胡為善

中原大學/商學院/會計研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500439

摘要

近年來台灣加權指數期貨交易量持續大幅提升，市場流動性增加，無論法人或自然人對期貨市場的投機或避險需求也日益增加，交易人參與期貨市場意願也跟著提高。本研究主要在探討投資人在台灣加權指數期貨市場買賣超對指數期貨報酬率及波動性的影響，資料採用台灣期貨交易所提供之機構投資人與一般自然人在台灣加權指數期貨市場的每日買賣口數，研究期間從民國九十一年一月一日至九十三年十二月三十一日為止共三年的資料，研究方法先檢定研究資料之單根現象，再以GARCH模型、共整合檢定、因果關係檢定及變異數分解來檢定機構投資人與一般投資人之投資行為，相互間是否有領先落後關係；探討機構投資人買賣超對股價指數期貨報酬率及波動性的影響；及探討機構投資人買賣超是否會造成現貨市場的波動。實證結果顯示，投資人很難利用過去的期貨指數或法人買賣口數來預測未來而獲得超額報酬；投信與外資的交易資訊均無法解釋期貨價格或其波動率，即無法對投資人產生有用的資訊；自營商的交易行為資訊可使投資人的交易產生獲利，但無法解釋期貨價格之波動性；由因果關係檢定機構投資人領先落後關係得知，外資與投信互有領先，但外資領先投信的程度較高。另外投信領先自營商，而自營商領先外資。由於只有自營商的買賣超對股價指數期貨有影響，因此自營商的買賣超變異數變大，股價指數期貨波動性自然會變大，明顯會造成現貨市場的波動。

關鍵字

期貨 ； 因果關係 ； 機構投資人

並列摘要

During the past three years, the transaction volumes of Taiwan Stock Exchange Index Futures has been risen dramatically and the market liquidity has also been increased. Both the institutional investors and individual investors’ need for speculation and for hedging against risk was increased subsequently. The trader’s willingness to participate in the futures market was also raised. This study attempts to investigate the impact of investors’net buying or selling in Taiwan’s futures market on the rate of the return and fluctuations of the index futures. The data resources are obtained from the institutional investors and individuals’ daily volumes of net selling and buying which were provided by Taiwan Futures Exchange. The sample period starts from Jan. 1, 2002 to Dec. 31, 2004. This investigation first uses the Augmented Dickey Fuller test to examine whether there is an unit-root phenomenon in time-series data, then employs the GARCH model, co-integrity examination , Granger’s Causality test and variance decomposition test to explore whether there exists a leading and lagging correlation of the investment activities between the institutional investors and individual investors. In addition, this study investigates the impact of net buying or selling by the institutional investors on the rate of return and fluctuation of stock index futures. This works also examines the impact of institutional investors’ net buying or selling on the spot market.
The experimental results are summarized as follows: (1) According to the futures’ prices and volumes data from 2002 to 2004, this study finds that Taiwanese futures market has weak efficiency and the investors are hard to obtain the excessive rate of return by predicting the prices of futures in advance based on the history of previous transaction volumes or prices； (2) The transaction information based on investment and trust company and international investment company cannot explain the prices or fluctuations of the futures. That is, it cannot provide useful information to the investors; (3) The information of transaction behaviors from security brokerage firms can help the investors to earn some profit. However, it’s hard to explain the fluctuations of futures prices. (4) According to Granger’s causality test, the findings show that international investors and investment and trust companies are mutually affected by each other. However, the impact of the transactions of the internationally institutional investors on those of the investment and trust companies is significantly higher than the transactions of investment and trust company on those of the internationally institutional investors. Moreover, the investment and trust companies led the security brokerage firms and the security brokerage firms led the internationally institutional investors. (5) This work finds that there is a significant relationship between the net buying and selling of security brokerage firms and the stock index futures. Therefore, the larger the variations of net buying and selling of the security brokerage firms are, the greater the fluctuations of the stock index futures are. Subsequently, the fluctuations of the futures market affect that of the spot market.

並列關鍵字

Granger's Causality ； Institutional investors ； Index future

參考文獻

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