決定交易人去留臺股期貨市場之要因

Major Related Factors that Cause Traders to Stay in or Leave TAIEX Futures Market

林佳旻(Lin Chia-Min)

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(2020年)

https://doi.org/10.6345/NTNU202001518

摘要

近年來，國內期貨、選擇權商品交易量顯著成長，但市場參與程度無明顯提升，推測係因期間陸續有交易人選擇離開市場、停止交易，而交易量成長集中於某特性之自然人或機構法人，因此本文以2007年1月至2012年11月臺股期貨及小型臺指期貨全市場參與者之日內交易資料為研究樣本，以月為期間單位，劃分71期，並定義連續三個月（含）無成交量之自然人為離開市場，法人則為一個月。觀察羅吉斯迴歸模型檢定結果可得：當市場報酬率及市場波動度上升時，投資人留在市場的機率會提高；而月成交量及留倉量越高、偏好交易大型契約之投資人，留在市場機率也相對較高；若進一步以投資人身分別區分，則外資留在市場機率最高，其次為國內法人，最後才為自然人；而以處分效果作為研究行為偏誤因子，發現處分效果程度愈嚴重之投資人，其留在市場機率大幅降低。另，交易人累積收益或虧損金額對於其去留市場機率並無明顯影響。

關鍵字

臺股期貨 ； 離開市場 ； 處分效果 ； 羅吉斯迴歸模型

並列摘要

In recent years, trading volumes of TAIFEX’s futures and options contracts has grown noticeably, but in contrast, there was no significant increase in market participation. Presumable reasons might be some traders left the market and stopped trading, and thus the increasing volumes were mostly concentrated on certain type of individuals or institutional investors. This study uses intraday data of all market participants who traded TX and MTX from January 2007 to November 2012, and the individual investors with no TX or MTX trading volume in three consecutive months were regarded as they’ve left the market, while one month for institutional investors. By the results of Logistic regression model, we can find when the market return or market volatility increased, the probability of investors staying in the market would increase. The investors with higher monthly trading volumes or open interests, or preferred trading large-sized contracts like TX versus MTX, then their probability staying in the market was relatively high. Further, dividing all participants into different types, we can find foreign institutions had the highest probability staying in the market and then followed by domestic institutions and individuals. Investors who had more serious degree of disposition effect turned out to had the lower probability of staying in the market, and additionally, there was no obvious impact of accumulated gains or losses on the probability of investors staying in or leaving the market.

並列關鍵字

TAIEX Futures ； Leave the Market ； Disposition Effect ； Logistic Regression Model

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