不同投資人間未成交揭示資訊對期貨報酬和波動的影響

這份研究著重於具方向性的價格與成交量資訊如何影響台灣指數期貨的波動與價格。自2003年未成交最佳五檔買賣價量資訊揭示於大眾，市場透明度大幅提升，這份研究分別以買賣成交量代表低透明度市場以及揭示買賣價成交量代表高透明度市場，並檢測上述何種資訊對台指期的報酬與波動有更大影響。為了更清楚了解不同投資人對上述資訊之確切反應，研究進一步把投資人分成四大類，即自營商、投信、外資和自然人，以充分了解投資人各自對好消息和壞消息衝擊之反應。結果總結如下。首先，揭示資訊是有能力解釋台指期報酬和波動的，同時帶有方向性的資訊能更進一步解釋報酬和波動。具有方向性的成交量資訊長期而言對期貨報酬和波動比方向性揭示資訊更具有解釋能力的，然而後者反應相對較迅速。同時研究也發現兩種資訊對不同投資人的影響並不一致，而自然人是四類投資人中從揭示資訊獲益最多的。　　總的來說，此研究發現能最快掌握未成交最佳五檔價量資訊並做出反應的投資人更能從中獲益並藉此提高期貨報酬並降低所面臨的風險。

關鍵字

方向性；未成交揭示五檔；報酬與波動；投資人分類

並列摘要

This research examines how the signed information of price and volume influences the TAIEX returns and volatility. Bid / ask trading price and volume trading at bid / ask price are employed to represent the low transparency market and high transparency market since the best five bid / ask price and volume are explored as public information at 2003. Dealers, securities investment trust companies, foreign Investors and individual investors were separated to truly understand the different markets traders respond through good news and bad news. The result concludes in the following. First, the disclosing data is useful in explain the futures returns and volatility and we found out the signed information with orientation further explaining the futures returns and volatility. The signed trading volume is more powerful in explaining the futures returns and volatility than signed disclosing data in the long run, however, the latter variables respond relatively rapid. Furthermore, we noticed that the impact of both variables on futures return and volatility among different trades is discriminated from the results. Individual investors benefit more from the data disclosure than the others three. 　　In conclusion, traders who can grasp and respond to the disclosing data rapidly benefit more from it in increasing the futures returns and reducing futures risk.

並列關鍵字

Orientation ； Disclosing information ； Returns and Volatility ； Different traders

參考文獻

23. Pei-keng Chen (2007), “The Study of Price-Volume Relationship in Taiwan Stock Index Futures.”

24. Wei-Jhe Syu (2010), “Application of Quantile Regression Model–The Empirical Examination for the Relationship among TX Market Return Rate, Trading Volume and Open Interest.”

31. Yen-Chun Lin (2005), “The Effect of Market Reform on Market Microstructure – Evidence from Taiwan Stock Market.”

1. Allan Hodgsona, A. Mansur M. Masihb and Rumi Masih (2006), “Futures trading volume as a determinant of prices in different momentum phases,” International Review of Financial Analysis, Vol. 15 , pp. 68-85.

2. Amihud, Yakov and Haim Mendelson (1986), “Asset pricing and the bid-ask spread,” Journal od Financial Economics, Vol. 17, pp. 223-249

國際替代計量

不同投資人間未成交揭示資訊對期貨報酬和波動的影響

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