三大法人未平倉量、前十大交易人未平倉量、三大法人買賣超市值對台指期之影響

The Causal Relationship between TAIFEX, the Open Interest, and the Net Buy/Sell of Major Investors in Taiwan Stock Exchange

顏鈺庭(Yu-Ting Yen)

指導教授 ： 趙莊敏

國立臺北科技大學/管理學院/經營管理系碩士班/碩士(2014年)

https://doi.org/10.6841/NTUT.2014.00504

摘要

根據市場的發現，機構投資人較容易在市場中獲利，而一般散戶則較容易於市場中失敗。Barber, et al.(2004)的研究指出機構投資人平均每年能獲得1%的稅後報酬，而一般散戶投資人則承受3.5%的平均損失。若一般投資人可以跟隨法人投資人的腳步，將法人的多空操作方向視為ㄧ重要指標，即可與法人一樣成為市場中的贏家。因此本文欲探討法人機構的投資方向與台指期指數之間的關係。
目前國內外文獻大部分專注於交易量或未平倉量與現貨股市報酬之間的關係，少數研究關注於交易量貨未平倉量與台灣股價指數期貨之關聯性。且為使得研究結果較為客觀，故本研究欲利用較大家熟悉且多數研究所使用之VAR模型進行實證研究。繼而探討台灣股價指數期貨與目前台灣期貨交易所與台灣證券交易所所揭露之各大交易人之交易訊息是否有特殊關聯，亦可了解上述兩者間的領先-落後情形，且進一步探討變數間影響程度大小與影響情形，更進一步地釐清變數之間的關係。
本研究最終發現，育觀察未來期貨指數變化的程度，可以參考過去法人期貨的未平倉狀況及三大法人現貨買賣超情況。其中法人期貨未平倉量口數具有強化與節制台指期貨指數變化程度的現象，近期的未平倉量具有強化的效果、遠期的未平倉量則具有節制的效果；另外，三大法人的買賣超變動量，主要具有節制未來台指期指數變動程度的現象。
希望能藉由此研究結果，幫助一般投資大眾了解大額交易人交易操作的背後意義，進而能採取最佳的策略來規避風險，甚至能夠透過此策略獲得較佳的獲利績效。另外，也能提供相關主管機關參考，若能揭露更多市場交易之詳細情形，可以使得交易市場更加透明化，也增加交易商品的流動性，以活絡整個金融交易市場。

關鍵字

未平倉量 ； 法人 ； 前十大交易人 ； VAR ； 台指期

並列摘要

Based on market observations, the institutional investors seem to be able to make profits from the financial markets while individual investors tend to lose. According to Barber, et al.(2004), institutional investors can get 1% of the average after-tax returns, while individual investors take an average loss of 3.5% each year. Therefore, an interesting question for individual investors is whether they could obtain abnormal returns if they follow the trading strategies of the institutional investors. Therefore, this study is going to examine the relationship between the Taiwan futures index (abbreviated TAIFEX) and the trading behavior of major investors in the market.
This study examines the relationship between TAIFEX and the open interest net position of top ten traders, the open interest net position of major three institution investors and the net buy/sell of major three institutional investors. The data used in this study is observed from 2009 to 2013, about 1006 samples. The data used in this study are public information which can be collected from the website of Taiwan Futures Exchange and Taiwan Stock Exchange. The open interest net position of top ten traders is available since January 3, 2005, while the open interest net position of the three major institutional investors is available since April 7, 2008. Therefore, the purpose of this study is to examine the effectiveness of the trading strategies by following the open interest net positions of the major investors.
The methodology applied in this study includes unit root test, vector auto regression, impulse response function and variance decomposition, etc. Through data analysis, this study is able to understand the lead or lag relationship between TAIFEX and the open interest net position of top ten traders, the open interest net position of major three institution investors and the net buy/sell of three major institutional investors. We can further examine the direction of the impact and the size of the influence on TAIFEX.
Our findings can provide a good reference for the individual investors to understand the meanings behind the trading strategies of major investors. Therefore, individual investors may be able to adopt better trading strategies to avoid risks, or even better, to obtain abnormal returns. In addition, our findings also suggest the importance of information transparency of the stock market, therefore the regulatory authorities should continued to provide more detailed information of market behavior and transactions.

並列關鍵字

open interest ； institutional investors ； top ten traders ； vector auto ； TAIFEX

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