小型臺指期貨成交量對臺灣加權股價指數波動是否具有預測能力?

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/92635

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/92635

Title:	小型臺指期貨成交量對臺灣加權股價指數波動是否具有預測能力?
Authors:	陳乃維;Chen, Nai-Wei
Contributors:	財務金融學系在職專班
Keywords:	成交量;波動;勒式部位;選擇權;trading volume;rate of change;Long Strangle;options
Date:	2023-07-04
Issue Date:	2024-09-19 15:59:32 (UTC+8)
Publisher:	國立中央大學
Abstract:	股價指數期貨一向被看作金融市場未來走勢之預測，當指數期貨交易量增加時有可能係投資人對於預測未來市場看法歧異，因此此本文主要探討臺灣證券交易所股價指數小型期貨契約(小型臺指期貨)成交量變動對次日臺灣證券交易所發行量加權股價指數(臺灣加權股價指數)之波動是否具有預測能力。實證發現在2021年至2022年間小型臺指期貨成交量變化對次日臺灣加權股價指數波動呈現顯著正相關，然而利用選擇權買進勒式部位交易策略獲利則呈現非線性關係。;Index futures have always been regarded as a predictor of the future trend of the financial market. When the trading volume of index futures increases, it may be that investors have different opinions on predicting the future market. Under this background, this article mainly discusses the MTX has the ability to predict the rate of change of the next issue of the Taiwan Stock Exchange′s issuance-weighted stock price index (Taiwan-weighted stock price index). The empirical findings show that from 2021 to 2022, the change in trading volume of MTX has a significant positive correlation with the rate of change of the next Taiwan weighted stock price index. Under this finding, the profit of the trading strategy of using options to buy Long Strangle shows a non-linear relationship.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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