近年來台灣衍生性金融商品蓬勃的發展,本文藉由向量自我迴歸模型(Vector Autoregressive Model)來探討三大法人是否利用衍生性金融商品的交易來操縱台灣加權股價指數,仰或是用來做為避險之功能。本文將期貨、選擇權多空交易口數淨額與現貨買賣超加以區分為自營商、外資、投信,以及台灣股票加權指數、摩根台指成交口數、借券量為樣本資料,共十二個變數。選取期間為2007年7月5日至2012年12月26日,以每週四為一週的第一個交易日,下週三為一週的最後一個交易日之週資料。實證結果發現,投信於衍生性金融商品市場做為避險之工具,自營商和外資會互相觀察動向,而外資有價格操縱之行為。
In recent years, Taiwan derivative instruments are fast developing. Appling Vector Autoregressive Model analysis, this study investigates whether Institutional Investors in Taiwan use derivative instruments transactions to manipulate TAIEX spot prices or simply hedge the risk. Twelve variables of weekly transaction data of futures and options markets from July 5, 2007 to December 26, 2012 are used as the sample of empirical study. Results show that Investment Trusts are likely to use derivatives as instruments for hedge, whereas Dealers and Foreign Capital trend to behavior herding together. In addition, evidence show that Foreign Capitals manipulate spot prices in order to make the profit of their derivatives positions come true.