三大法人臺股期貨與臺指選擇權未平倉量變化對臺灣加權指數變化之影響:以股市大跌前後為例

隨著台灣金融制度日漸完善，人們投資理財不再局限於傳統股票市場，也開始接觸衍生性金融商品，期貨、選擇權逐漸受到專業投資人的喜愛。市場之主要交易人為一般自然人及三大法人，法人有專業的投資理念、豐富的理財經驗，相較於自然人更容易獲取優勢。過去研究多數是期貨與選擇權二者之一與現貨間之關係研究，少有研究三者間關係。近年來股市大跌下研究多為2008年金融海嘯期間，少有研究2020年COVID-19期間，更鮮少有選定其他時間階段且分別幾次研究。本研究選用2018年至2021年6月間三次台股大跌前後之三大法人台股期貨未平倉量淨額變化、三大法人台指選擇權未平倉量淨額變化與台灣加權指數變化之日資料，透過格蘭傑因果關係檢定、衝擊反應函數及預測誤差變異數分解，探討變數間關係。結論如下：股市大跌前後均存在期貨未平倉量變化或者選擇權未平倉量變化其中一者領先台灣加權指數變化的情況，大跌前期更明顯。股市大跌前，期貨未平倉量變化對台灣加權指數變化具有較強負向影響，大跌後，對台灣加權指數變化多具有正向持續衝擊；選擇權未平倉量變化在股市大跌前期與後期對台灣加權指數變化均具有強烈衝擊。期貨未平倉量變化與選擇權未平倉量變化在不同階段對台灣加權指數變化具有較強的解釋能力。

關鍵字

未平倉量；期貨；選擇權；台灣加權指數；向量誤差修正模型；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

As Taiwan financial system became more and more improved, people began to contact with derivative financial products. Futures and options are favored by professional investors because of their functions such as price discovery, hedging, and speculation. The main traders in the futures and options market are natural persons and three institutional investors. Institutional investors have professional financial knowledge and experience, and they are more likely to gain advantages than natural persons. This study selected the daily data of open interest of three institutional investors in TAIEX futures and options, and Taiwan stock index from 2018 to June 2021 to analyze. The results of the study are as follows. The changes in open interest in futures has a strong negative impact on the changes in Taiwan stock index before the stock market crash. The changes in Taiwan stock index has more explained by the changes in open interest in futures or the changes in open interest in options at different stages.

並列關鍵字

Futures ； Options ； Open Interest ； Unit Root Test ； Cointegration Test ； Granger Causality Test ； Impulse Response Function ； Forecast Error Variance Decomposition