資訊交易機率及日期效應對於期貨報酬的影響

Probability of Informed Trading with the Day-of-Week Effect on Futures Returns

謝佳霖(Chia-Lin Hsieh)

指導教授 ： 李彥賢

中原大學/商學院/國際商學碩士學位學程/碩士(2016年)

https://doi.org/10.6840/cycu201600291

摘要

在金融市場中，期貨是一項重要的衍生性金融商品。而不同身份投資人對於交易資訊的持有與期貨的報酬收益是具有高度的相關性。本文根據Easley, Hvidkjaer and O’Hara (2012) 所提出的優勢資訊交易機率(VPIN)模型對台灣的期貨市場進行探勘。本研究使用GARCH模型分析台灣期貨交易所2008年01月02日至2009年03月18日期間的逐筆交易數據探討不同類型的交易人的優勢資訊交易對於期貨報酬率的影響，揭示不同身份交易人將如何影響期貨市場。同時，將期貨市場的日期效應納入考量，觀察其對持有資訊的不同身份交易者對於期貨收益之影響。
本文實證結果發現，不分交易人身份的優勢資訊交易機率對於期貨報酬未有顯著影響，但是期貨報酬在星期三有顯著影影響，其具有日期效應。其次，進而將交易人身分非為國內機構投資人及國外機構投資人。除此之外，不同身份的投資人分別加入日期效應一併探討。進一步實證結果發現，國外機構投資人的優勢資訊交易機率對於台灣期貨報酬具有影響，而國內機構投資人的優勢資訊交易機率在星期三對於期貨報酬有高度顯著影響。

關鍵字

優勢資訊交易機率 ； 日期效應 ； GARCH ； 期貨市場

並列摘要

This study estimates the Volume-Synchronized Probability of Informed Trading (VPIN) which was provided by Easley, Hvidkjaer and O’Hara (2012) in futures market of Taiwan. First, the researcher used GARCH (1,1) model to analyze VPIN impact on futures returns which covered the period from January 2, 2008 to March 18, 2009. Second, the researcher considerate the day-of-week effect on the futures returns in Taiwan. Third, the researcher used these two conditions to examine the influence on futures returns. Moreover, the different type of institutional traders with transaction information and the futures returns have high correlation. Thus, the researcher divided the investors into two identities: one is domestic institutional investor and the other is foreign institutional investor. Finally, the researcher further explored the VPIN of different type traders and the VPIN of different type traders on weekdays influence futures returns.
The empirical evidence indicated that probability of informed trading has no significant impact on futures returns. However, the examination indicated that there is the day-of-week effect on Wednesday which influences on futures returns. Secondly, the researcher examined the day-of-week effect of VPIN, and then found that has impact on futures returns. Owing to these results the researcher divided the traders into, domestic institutional trader and foreign institutional trader; particularly VPIN of foreign institutional trader has a high impact on futures returns. The researcher conjectured that the VPIN of various identity institutional traders on different weekdays affect the futures returns of Taiwan. Finally, the result shows that VPIN of domestic institutional traders’ trade futures returns has highly significant on Wednesdays in Taiwan futures market.

並列關鍵字

VPIN ； Day-of-Week Effect ； GARCH ； Futures Market

參考文獻

6. Chen, H.P. (2003) An Empirical Study on Day-of-the-Week Effect and Ten-Days Effect in Taiwan Government Bond Market, National Yunlin University of Science and Technology, Department of Finance, Master thesis.

27. Lo, R.C.Y. (2003) A Study on Day-of-the-Week Effect in Taiwan Stock Exchange, National Yunlin University of Science and Technology, Department of Finance, Master thesis.

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