本研究探討台灣股票市場三大法人 ( 外資、投信、自營商 ) 加權股價指數每日買賣超淨額、期貨市場三大法人加權股價指數每日未平倉淨額與台灣加權股價指數日報酬率三者之間的互動關係,研究期間為2007年7月2日至2012年2月14日,研究方法分別使用VAR模型、Granger因果關係檢定、衝擊反應分析、預測誤差變異數分解,實證結果發現股票與期貨兩市場的交易行為有訊息相互傳遞的情形出現,三大法人的群集行為對加權股價指數報酬率有正向影響,且多數法人的買賣超行為與加權股價指數報酬率存在單向或雙向因果關係,而股票與期貨市場相比,股票市場對加權股價指數報酬率的衝擊大於期貨市場,其中又以股票市場外資的買賣超行為對加權股價指數報酬率的影響最大,另外,我們還發現可將現貨市場投信、自營商與期貨市場外資於前兩期(日)之前的買賣超行為視為一反向指標。
This paper investigates relationships between daily netbuy of the three institutional investors ( i.e., foreign institutional investors, domestic mutual funds, domestic proprietary security traders) in the stock market, daily net open interest of the three institutional investors in the index futures market, and daily return of the stock market during the period from July 02, 2007 to February 14, 2012. Based on the vector autoregressive model, the granger causality test, the impulse response function and the variance decomposition of forecast errors, the results indicate that the trading messages of both stock market and futures markets spillover to each other. We find that the herding behavior of the three institutional investors positively impacts on the return of TAIEX. The trading behavior of the three institutional investors in the stock market and the futures market appears to bear a one-way or a two-way causal relationship with TAIEX. By contrast, the impact of the stock market on index return of TAIEX is greater than that of the futures market. Especially, the trading behavior of foreign institutional investors in the stock market has the most obvious impact on index return of TAIEX. Furthermore, the empirical results reveal that domestic mutual funds and proprietary security traders in the stock market, and foreign institutional investors in the futures market follow a negative feedback trading strategy relative their trades to two days ago.