期貨市場三大法人之交易行為與台指期貨報酬之關聯性; The Relationship Between Taiwan Stock Index Futures Return and Three Primary Institutional Investors

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Title:	期貨市場三大法人之交易行為與台指期貨報酬之關聯性;The Relationship Between Taiwan Stock Index Futures Return and Three Primary Institutional Investors
Authors:	黃莉青;Li-ching Huang
Contributors:	財務金融學系碩士在職專班
Keywords:	向量自我廻歸模型(VAR);衝擊反應反應函數;預測誤差變異分析;Feedback Trader;Vector Autoregressive Model(VAR)
Date:	2009-06-20
Issue Date:	2009-09-22 14:49:36 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究主旨在以外資、投信及自營商三大法人之未平倉量來探討其於期貨市場交易行為與台指期貨指數報酬率之關聯性。以台灣期貨交易所每日公佈之三大法人交易資訊與台指期貨日報酬資料為樣本資料，研究期間為2007年7月2日至2009年4月30日，並以向量自我廻歸模型(VAR)來進行實證研究及分析。實證結果發現：三大法人每日交易行為無法影響台指期貨報酬，亦即一般投資人無法利用台灣期貨交易所每日三大法人交易未平倉口數的交易資訊來做判斷並擬訂操作策略從中獲取利潤。在台指期貨的交易上，外資為一負向交易回饋者，投信則為正向交易回饋者。投信與外資的交易行為存在負相關，投信與自營商亦存在負向關係。 The purpose of this article is to investigate the relationship between Taiwan stock index futures return and trading behavior of foreign investors, fund investment trust companies and dealers with open interest in Taiwan’s Futures Market. The study uses the futures traders’ data of three primary institutional investors provided by the Taiwan future exchange (TAIFEX) and Taiwan stock index futures daily return. The period of searching is from 2 July 2007 to 30 April 2009. The above relationships have been tested and examined by Vector Autoregressive Model (VAR).The analysis of empirical result: the behavior of three primary institutional investors can not affect Taiwan stock index futures return. The general investors are unable to make judgments strategy for the development of profit from operations by taking advantage of the trading information about open interest of three primary institutional investors. In the future market, foreign investors are negative feedback traders. Fund investment trust companies are positive feedback traders. There is a negative relationship between foreign investors and fund investment trust companies. There is also a negative relationship between fund investment trust companies and dealers.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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