大額期貨市場交易人對期貨價格預測能力之研究

The Predictability of Large Investors’ Trading on Futures Prices in the Taiwan Futures Market

林志偉(Lin Chih-Wei)

指導教授 ： 蔡蒔銓

國立臺灣師範大學/管理學院/管理研究所/碩士(2017年)

https://doi.org/10.6345/NTNU202203408

摘要

以台灣股價指數為標的的期貨與選擇權，為台灣期貨市場交易量最大宗的商品，本研究即以台指期貨、小型台指期貨、台指選擇權為研究對象，探討大額交易人持有之部位對於期貨市場價格的預測能力，透過分析只交易期貨、只交易選擇權、或是兩者皆交易之大額交易人，進一步探討其不同的交易行為與擁有的不同資訊性，對於價格的預測能力是否也因而不同。
期貨與選擇權的價格包含很多市場的資訊，本文將交易人的期貨與選擇權部位合併來看，結果顯示，大額交易人對於期貨市場價格具有顯著預測能力，不論是在只交易期貨，抑或是只交易選擇權，甚至是兩者皆交易的投資人，其持有部位均與次日期貨報酬呈現顯著的正相關；相對於大額交易人，非大額交易人之持有部位均與次日期貨報酬呈現顯著負相關。若只考慮較有資訊性的開倉部分，結果顯示只交易期貨與兩市場皆交易之大額交易人，其持有部位對於期貨報酬之預測能力比在同時納入開平倉的情境下更加顯著。此外，研究結果也顯示，兩市場皆交易之大額交易人在預測期貨市場價格變動比只交易單一市場較好，其持有部位與次日期貨報酬的相關性較高。

關鍵字

Delta值 ； 部位 ； 大額交易人

並列摘要

Futures and options with TAIEX as underlying asset is the products with the largest trading volume in TAIEX futures market. This study selects TAIEX Futures, Mini-TAIEX Futures and TAIEX Options as the objects and investigates into predictive power of the large investors’ position toward the futures market price. By analyzing investors who trade in only futures market, those who trade in only options market or those who trade in both futures and options markets, this study conducts further investigation into whether there is any difference in predictive power on futures price because of their different trading behaviors and the different information they hold.
The prices of futures and options include a lot of market information. This study combines the investors’ positions of futures and options. The result shows that large investors have significant predictive power on the futures market price. No matter whether investors trade in only futures market, only in options market or in both futures and options market, their positions all have significantly positive correlation with the futures return on the next day; compared with large investors, other investors’ positions all have significantly negative correlation with the futures return on the next day. If we only consider the comparatively informative open part, the result shows that the positions of the large investors who trade only in futures market and those who trade in both markets have more significant predictive power on futures return compared with the context of open and close positions simultaneously. The results also show that investors who trade in both markets have better predictive power on the change of futures price and their positions have comparatively higher correlation with the futures return on the next day.

並列關鍵字

Dollar Delta ； position ； Large investor

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