2017~2020台灣加權股價指數、散戶多空比、富邦VIX之互動關係

過往研究發現散戶一直為金融投資之輸家，本研究想要以散戶多空比進一步探討散戶在期貨市場與股市之關聯性，若有足夠的證據顯示散戶為負向指標，則可直接在期貨市場與散戶作對；並且，2020年3月新冠疫情爆發時，股市重挫3000點，然而富邦VIX在2月27日已經突破四月個新高，是否其為股價很好的價格發現標的，過往研究並沒有針對台股與富邦VIX作互動關係之研究，以及散戶多空比與台股之互動關係研究，因此本文之研究目的將探討台灣股市、散戶多空比及富邦VIX之互動關係。本研究研究2017年至2020年底之日資料互動關係研究。將資料進行單根檢定、共整合檢定、向量自我迴歸模型之格蘭傑因果關係檢定、衝擊反應函數以及預測誤差變異數分解。試圖找出變數間之領先落後關係、反應時間和變數受其他變數之影響。研究結果如下，(1)散戶多空比為研究變數之領先指標。(2)散戶多空比與台股為負向關係、台股與富邦VIX為負向關係，散戶多空比與富邦VIX為正向關係。(3)台股自我解釋能力最強，散戶多空比與富邦VIX受台股解釋更多。本研究指出散戶多空比為股市之領先指標，亦為投資者可以根據散戶的多空意向選擇與散戶做反方向，可提高其勝率，並且富邦VIX亦與台股有強烈的負相關。本文希望提供投資人價格發現之參考，對於令許多投資者頭痛的漲跌問題，提供相對應的參考，進而取得最佳績效。

關鍵字

台灣加權股價指數；散戶多空比；富邦VIX ；單根檢定；共整合檢定；向量自我迴歸模型；格蘭傑因果關係檢定；衝擊反應函數；預測誤差變異數分解

並列摘要

Previous studies have found that retail investors have always been the losers of financial investment. This study intends to further explore the retail investors in the futures market. If there is sufficient evidence to show that retail investors are negative indicators, you can directly counteract retail investors in the futures market. In addition, during the COVID-19 pandemic in March 2020, the stock market plummeted by 3,000 points. However, Fubon VIX had broken through a four mouth’s new high on February 27. Whether it is a good price discovery for the stock price is the focus of this study. This study mainly studied the data of the Taiwanese market from 2017 to 2020, and analyzed by Unit- Test, Cointegration Test and Vector Autoregression. The results of the study are as follows. (1) The Bull and Bear index of retail investors is the leading indicator of the research variables. (2) Bull and Bear index of retail investors has a negative relationship with Taiwan stocks, Taiwan stocks have a negative relationship with Fubon VIX, and Bull and Bear index of retail investors have a positive relationship with Fubon VIX. (3) Taiwan stocks have the strongest self-explanatory ability, and Bull and Bear index of retail investors and Fubon VIX are more explained by Taiwan stocks. This study points out that the Bull and Bear index of retail investors is a leading indicator of the stock market. It also allows investors to choose the opposite direction of retail investors based on their Bull and Bear intentions, which can increase their winning rate. Fubon VIX also has a strong negative correlation with Taiwan stocks. This study hopes to provide a reference for investors' price discovery, and provide a corresponding reference for the ups and downs that have caused many investors to get the best performance.

並列關鍵字

Taiwan Capitalization Weighted Stock Index ； Bull and Bear index of retail investors ； Fubon VIX ； Unit-Test ； Cointegration Test ； Vector Autoregression ； Granger Causality Test ； Impulse Response Function ； Forecast Error variance decomposition