影響大盤與衍生性金融商品成交量因素之探討與分析

Investigate and Analyze the Factors of Affecting Trading Volume in Taiwan Financial Derivatives Market

倪衍森(Yen-Sen Ni) ； 黃寶玉(Pao-Yu Huang) ； 許宸銘(Chen-Ming Hsu)

《創新與管理》 8卷1期 (2011/02) Pp. 49-74

https://doi.org/10.30118/JIM.201102.0003

摘要

本文乃是探討影響台股大盤與衍生性金融商品成交量的主要因素，其中就大盤成交量而言，研究發現技術分析的K值對於開盤、收盤與大盤的成交量皆有正向影響，上述實證結果其實有點出人意表，因為過去被認同不高的技術指標竟然對大盤成交量的高低會有所影響，推就其成因乃是K值的高低與市場活絡程度好像有關。就衍生性金融商品的成交量探討，發現技術分析的K值對衍生性金融商品之成交量有正向影響，外資買賣超對於衍生性金融商品呈負向影響；此亦說明投資人介入衍生性金融商品時，似乎對技術分析會有所參考，而就外資賣超時，常常搭配衍生性金融商品來一併做空或避險，此似乎可以嗅出外資法人對衍生性金融商品的著墨的痕跡並不低。

關鍵字

成交量 ； 技術分析 ； 外資法人

並列摘要

This research is to investigate main factors of affecting the trading volume in TWSE. In this study, we find that the technical indicators such as K values have positive effects on the trading volume including opening, closing and total daily trading volume. The above phenemena are somewhat beyond our expectation, since technical indicators, which are seldom recognized by academic periodicals, play important roles on affecting trading volume in TWSE. While infering the possible reasons, we find K values seem to have connection with trading volume, i.e. the higher K values, the higher trading volume. In respect of trading volume of derivative commodities, K values also show positive effect on the trading volume of derivatives such as index futures, index call options, and index put options. Moreover, the trading behaviors of foreign investment institutions in spot market also have effects on the trading volume of these derivatives. These empirical results display investors will concern technical indicators while involving in derivatives markets. As refering the increasing trading volume of deriveatives under net sell stocks of foreign investment instituions, we also find foreign institutions will trace derivatives for the purposes of making profit by either short derivatives or hedging by long derivatives.

並列關鍵字

Trading Volume ； Technical Analysis ； Foreign Investment Institutions