期貨商持倉量對滬深300期貨指數變動之影響

The Effects of Futures Commission Merchants’ Open Interest on CSI 300 Index Futures

楊源贐(YUAN-CHIN YANG)

指導教授 ： 施懿宸

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2016年)

摘要

本研究以中國金融期貨交易所公告之每日滬深300指數期貨收盤價、每日期貨商持倉量多單、每日期貨商持倉量空單等數據為樣本，再將樣本區分為前三大期貨商持倉量、前十大期貨商持倉量、前二十大期貨商持倉量以及個別的三大主要期貨商(中信、永安、國泰君安)持倉量，分別統計其每日淨部位、累計淨部位，希望能找出期貨商持倉量對滬深300指數期貨影響的程度。
本研究採用向量自我迴歸模型(VAR)來分析期貨商持倉量和滬深300指數期貨變化的關係，並透過Granger因果關係檢定(Granger Causality Test)探討各變數間是否存在領先或落後的因果關係，也用衝擊反應函數(Impulse Response Function)來進一步瞭解，期貨商持倉量對指數期貨變化的反應函數及其遞延效果。
本文的結果指出，前三大、前十大、與前二十大期貨商持倉量的實證結果皆一致，不論是每日淨部位還是累積淨部位，對於滬深300指數期貨皆沒有顯著的解釋力。另外，所有的實證檢定中，只有單一期貨商-中信期貨的每日淨部位，對於滬深300指數期貨，具有落後一期的顯著正相關。因此，個別期貨商之間的檢定結果，並不完全一致。因此，以實證結果而論，中信期貨的每日淨部位變化，可做為判斷影響滬深300指數期貨的關鍵因素。

關鍵詞：期貨商持倉量、滬深300指數期貨、向量自我迴歸模型、Granger因果關係檢定、衝擊反應函數。

關鍵字

Granger因果關係檢定 ； 向量自我迴歸模型 ； 滬深300指數期貨 ； 期貨商持倉量 ； 衝擊反應函數

並列摘要

This paper analyzes the effects of open interest of Futures commission merchants on the price of CSI 300 Index Futures of China Financial Futures Exchange. The data of open interest is further classified into long position and short position. The focus is on the daily net position and accumulated net position of the top-three merchants, top- ten merchants, top-twenty merchants as well as the three top merchants respectively.
This thesis applies the methodology of Vector Autoregression (VAR) model to analyze the relationship between merchants’ open interest and the price of CSI 300 Index Futures. In addition, Granger Causality Test is used to explore the leading and lag effects as far as causality is concerned. Furthermore, Impulse Response Function is exploited to help the understanding of the reaction as well as the impact caused among variables.
The empirical result shows a consistent phenomenon that open interest of Futures commission merchants is not helpful to explain the price changes of CSI 300 Index Futures, no matter it is from the daily net position or accumulated net position, and no matter it is of the top-three merchants, top- ten merchants, or top-twenty merchants. Furthermore, only the daily net position of Citic Futures (one of the three top merchants in the market) shows a positive, one-period lagged effect on the index. Therefore, the empirical results have no consistency as far as the individual top merchant is concerned. In the summary, it could be concluded that the changes of the daily net position of Citic Futures play an essential role while accountability of the fluctuation of CSI 300 Index Futures is considered.

Keywords: Open Interest of Futures commission merchants, CSI 300 Index Futures, Vector Autoregression, Granger Causality Test, Impulse Response Function

並列關鍵字

Granger Causality Test ； Vector Autoregression ； CSI 300 Index Futures ； Open Interest of Futures commission merchants, ； Impulse Response Function

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