三大法人現貨買賣超、期貨未平倉口數對加權指數之影響

Abstract

近年來，台灣金融市場越趨成熟發展，國外資金也常匯流至台灣。由於台灣是個淺碟子市場，易受外來衝擊影響，三大法人：投信、外資、自營，其在市場的舉動往往是大眾所關注的焦點。本研究依據2009年3月16日至2011年12月31日由台灣證券交易所與台灣期貨交易所公布的三大法人買賣超與淨未平倉口數的資訊進行研究。 本文採用時間序列之分析，並使用交錯相關係數函數與轉換函數模型估計三大法人的交易資訊對加權指數之影響。結果發現加權指數報酬率與三大法人當期的現貨買賣超及期貨淨未平倉口數有正相關。此外，加權指數會受到三大法人現貨買賣超前幾期的負向影響，以及期貨未平倉口數的正向影響。此外，由衝擊反應函數可知除了投信買賣超對加權指數造成負向影響，其他均為正向影響。

Three major types of institutional investors, namely, investment trust funds, proprietary dealers of securities firms and foreign institutional investors, are becoming more active in Taiwan’s equity market in recent years. Their trading activities are closely watched by other market participants. Starting March 16 of 2009, their net changes in index futures and options positions are disclosed to the public by TAIFEX. We therefore investigate the effect, if any, of these information on the market, together with the information regarding their trading in stock market which have been disclosed much earlier. Time Series Analysis, Cross Correlation Function and Transfer Function Model are employed to probe market responses to the trading activities of those financial institutions. It is found that the net buy (sale) of stocks and the net open interests change in the index futures are positively correlated with the concurrent index return. Furthermore, index returns are negatively correlated with the spot net buy and positively correlated with the net changes in index futures open interests in the previous sessions. Finally, it is found that all variables except the net buy of investment trust fund have positive influence on the index return when we use Impulse Response Function.