如何增進台灣期貨市場之投資與估計效率

How to Improve the Efficiency of Investment and Estimation on Taiwan Futures Market

練有為(Yu-Wei Lan) ； 鄭素珍(Suh-Jan Cheng)

《管理資訊計算》 4卷特刊1 (2015/08) Pp. 63-76

https://doi.org/10.6285/MIC.4(S1).08

摘要

為探討2008年次貸風暴後如何提升台指期貨之投資效率，本研究在採用ADF單根檢定Johansen最大概似檢定時發現各類期貨之指數在台指期貨中具有共整合且互為因果，也證明台灣期貨市場不具備強勢效率市場的條件，進而，採用考慮借劵資訊與電子期貨指數領頭羊之資訊，證實本研究之假說：台指期貨價格動態呈現正反饋交易行為模式。同時，本研究也運用誤差修正模型對未來四個月的台指期貨加以估計，相對誤差絕對值平均小於1%(0.0092)。

關鍵字

正反饋效應 ； 共整合分析 ； 誤差修正模型 ； 程式交易

並列摘要

The purpose of this paper is to investigate how to improve the efficiency of investment on Taiwan futures market after financial crisis in 2008. In order to explain the strategy, augmented Dickey–Fuller test for unit root is examined in the univariate framework and Johansen's maximum likelihood procedure is used to test the cointegration method and to estimate the number of cointegrating vectors of VAR model. It indicates that Taiwan’s futures market does not fulfill the strong-form efficient market condition. Furthermore, adopting the information of security landing and the information of EXF, we prove that the positive feedback effect of investment strategy does exist in Taiwan’s futures market. Meanwhile, using our VECM, we estimate the futures index of Taiwan. The value of MAPE is less than 1%(0.0092).

並列關鍵字

Positive feedback effect ； Cointegration analysis ； Error correction model ； Program trading

參考文獻

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Murphy, John J., 1956, Technical Analysis of Futures Markets, New York: Routledge.