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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修(Tsun-Siou Lee) | |
dc.contributor.author | Shin-Hua Tsai | en |
dc.contributor.author | 蔡欣樺 | zh_TW |
dc.date.accessioned | 2021-06-07T18:12:45Z | - |
dc.date.copyright | 2012-06-29 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-06-25 | |
dc.identifier.citation | 李又剛、施旭時(1998),「國內外法人機構、新興市場自由指數與國內股市結構」
,企銀季刊,第21卷第 4期,11-25。 李光輝、歐興祥及張炳耀(2000),「外資與我國股市互動關係之探討」,中央銀行季刊,第22卷第4期,67-80 李光輝、歐興祥及張炳耀(2000),「外資與我國股市互動關係之探討」,中央銀行季刊,第22卷第4期,67-79 林美珍、馬麗菁(2002),「投資機構交易資訊與市場報酬之互動關係」,證券市場發展季刊,第14卷第3期,113-143 許溪南、王健聰及黃文芳(2010),「台灣股市三大法人買賣超型態、強度與報酬之關聯性」,中華管理評論國際學報,第13卷第4期 黃嘉興、王朝仕(2002),「三大機構投資人之資金流量對台灣股票市場的影響」,管理新思維學術研討會,台北:國立台灣科技大學主辦。 黃嘉興、許月瑜(1999),「外資對台灣股票市場的影響」,台北銀行月刊,第29卷第4期,58-71 黃嘉興、詹定宇、許月瑜(1999),「機構投資人日買賣超資訊傳遞行為之研究」,台灣銀行季刊,第50卷第2期,28-55 Baika, B., J.K. Kang , and, J.M. Kim(2010), “Local institutional investors, information asymmetries, and equity returns,” Journal of Financial Economics 97(1), 81-106. Bessembinder, H. and P. J. Seguin(1993), “Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets,” Journal of Financial and Quantitative Analysis 28, 21-39. Beverly R. Walther(1997), “Investor Sophistication and Market Earnings Expectations,” Journal of Accounting Research 35(2), 157-192. Brian J. Bushee(2001), “Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value?” Contemporary Accounting Research 18(2), 207–246. Chang, E. C.(1985), “Returns to speculators and the theory of normal backwardation,” Journal of Finance 140, 193-208. Chan, L. K. C., & J. Lakonishok,(1993),“Institutional trades and intraday stock price behavior,” Journal of Financial Economics 33(2), 173–199. Chan, L. K. C, & J. Lakonishok,(1995), “The Behavior of Stock Prices around Institutional Trades,” Journal of Finance 50(4), 1147-1174. Chen, N., C. J. Cuny, and R. A. Haugen(1995), “Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts,” Journal of Finance 50(1), 281-300. Clark, P.K.(1973), “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica 41(1), 135-155. Chiao, C. and K. I. Lin(2004),“The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market,” Review of Pacific Basin Financial Markets and Policies 7(2), 259-288. Dornbusch, R., and Y.C.Park(2005),“Financial Integration in a Second Best World,” Seoul: Korea Institute of Finance. Ferris, P. S., Y. H. Park, and K. Park(2002),“Volatility, open interest, volume, and arbitrage: evidence from the S&P 500 futures market,” Applied Economics Letters, 369-372. Grinblatt, M. and M. Keloharju,(2000),“The investment behavior and performance of various investor types: a study of Finland's unique data set,” Journal of Financial Economics 55, 43-67. Grinblatt. M, S. Titman and R. Wermers(1995),“Measuring Mutual Fund Performance with Characteristic Based Benchmarks,” Journal of Finance 52(3), 1035–1058. Huang, B. N. and C. W. Yang(2000), “Impact of Domestic Investment Companies, Registered Trading Firms and Foreign Institutional Investors on the Taiwan Stock Exchange after the Financial Market Liberalization,” working paper, National Chung Cheng University. Haigh, M.S., J. Hranaiova, and J. Overdahl(2005), “Price volatility, liquidity provision and the role of managed money traders in energy futures markets,” CFTC Papers, Macquarie University, 1-50. Hamao, Y. and J. Mei(2001), “Living with the ‘enemy’: an analysis of foreign investment in the Japanese equity market,” Journal of International Money and Finance 120, 715-735. Hartzmark, M. L.(1987), ”Returns to individual traders of futures: Aggregate results,” Journal of Political Economy 95, 1292-1306. Hartzmark, M. L.(1991), “Luck versus forecast ability: Determinants of trader performance in futures markets,” Journal of Business 64, 49-74. Huang, B. N.(2000), “Impact of Domestic Investment Companies, Registered Trading Firms and Foreign Institutional Investors on the Taiwan Stock Exchange after the Financial Market Liberalization,” working paper, National Chung Cheng University. Liew, K. Y. & Brooks, R. D.(1998), “Returns and volatility in the Kuala Lumpur crude,”Journal of Futures Markets 18(8), 985–999. Nofsinger, J. R.and R. W. Sias(1999),“Herding and Feedback Trading by Institutional and Individual Investors,” The Journal of Finance,54(6), 2263-2295. Pan, M. S., Y. A. Liu, and H. J. Roth(2003), “Volatility and trading demands in stock index futures,” Journal of Futures Markets 23(4), 399–414. Salcedo, Y.(2003), “Another look at volume and open interest,” Futures, 60-62. Wang,C. (2003),“The behavior and performance of major types of futures traders,” Journal of Futures Markets, 23(1), 1–31. Wang,Y. J. and M. M. Walker(2000), “An Empirical Test of Individual and Institutional Trading Patterns in Japan, Hong Kong, and Taiwan,” Journal of Economics and Finance 124, 178-194. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16392 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T18:12:45Z (GMT). No. of bitstreams: 1 ntu-101-R99723053-1.pdf: 1536627 bytes, checksum: f2998f4ebfe977250833dec88ff43f9a (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 目錄
口試委員審定書 I 致謝 II 摘要 III ABSTRACT IV 壹、緒論 1 一、研究背景與動機 1 二、研究流程 4 貳、參考文獻 5 一、期貨未平倉量與波動性、報酬率之顯著性 5 二、三大法人買賣超與資訊內涵之比較 6 三、不同類型交易者的動能策略與績效比較 7 四、投資者類型與其績效之顯著性 8 參、研究方法 10 一、單根檢定 11 二、ARIMA模型 12 三、交錯相關係數函數 14 四、轉換函數模型 14 五、衝擊反應函數 17 肆、實證結果分析 18 一、資料說明 18 二、單根檢定 18 三、ARIMA模型 19 四、交錯相關係數函數 25 五、轉換函數模型 29 六、衝擊反應函數 35 伍、結論與建議 37 一、結論 37 二、建議 38 參考文獻 39 表目錄 表1 三大法人成交值占整體機構比例 2 表2 三大法人現貨買賣超、期貨淨未平倉口數與加權指數之單根檢定 19 表3 加權指數報酬率與三大法人買賣超之ARIMA模型鑑定 19 表4 三大法人淨未平倉口數之ARIMA模型鑑定 20 圖目錄 圖1 三大法人合計買賣超與台股走勢之連動關係 3 圖2 三大法人合計未平倉口數與台股走勢之連動關係 3 圖3 研究流程圖 4 圖4 加權指數報酬率之殘差自我相關係數與偏自我相關係數 22 圖5 外資買賣超之殘差自我相關係數與偏自我相關係數 22 圖6 投信買賣超之殘差自我相關係數與偏自我相關係數 23 圖7 自營商買賣超之殘差自我相關係數與偏自我相關係數 23 圖8 三大法人合計買賣超之殘差自我相關係數與偏自我相關係數 23 圖9 外資淨未平倉口數之殘差自我相關係數與偏自我相關係數 24 圖10 投信淨未平倉口數之殘差自我相關係數與偏自我相關係數 24 圖11 自營商淨未平倉口數之殘差自我相關係數與偏自我相關係數 24 圖12 三大法人合計淨未平倉口數之殘差自我相關係數與偏自我相關係數 25 圖13 外資買賣超與加權指數報酬率之交錯相關係數函數 26 圖14 投信買賣超與加權指數報酬率之交錯相關係數函數 26 圖15 自營商買賣超與加權指數報酬率之交錯相關係數函數 26 圖16 三大法人合計買賣超與加權指數報酬率之交錯相關係數函數 26 圖17 外資淨未平倉口數與加權指數報酬率之交錯相關係數函數 27 圖18 投信淨未平倉口數與加權指數報酬率之交錯相關係數函數 27 圖19 自營商淨未平倉口數與加權指數報酬率之交錯相關係數函數 27 圖20 三大法人合計淨未平倉口數與加權指數報酬率之交錯相關係數函數 28 圖21 外資買賣超與淨未平倉口數之交錯相關係數函數 28 圖22 投信買賣超與淨未平倉口數之交錯相關係數函數 29 圖23 自營商買賣超與淨未平倉口數之交錯相關係數函數 29 圖24 三大法人合計買賣超與淨未平倉口數之交錯相關係數函數 29 圖25 外資買賣超之殘差自我相關係數與偏自我相關係數 32 圖26 投信買賣超之殘差自我相關係數與偏自我相關係數 32 圖27 自營商買賣超之殘差自我相關係數與偏自我相關係數 33 圖28 三大法人合計買賣超之殘差自我相關係數與偏自我相關係數 33 圖29 外資未平倉淨口數之殘差自我相關係數與偏自我相關係數 33 圖30 投信未平倉淨口數之殘差自我相關係數與偏自我相關係數 34 圖31 自營商未平倉淨口數之殘差自我相關係數與偏自我相關係數 34 圖32 三大法人合計未平倉口數之殘差自我相關係數與偏自我相關係數 34 圖33 三大法人個別現貨買賣超部位對加權指數之衝擊反應過程 35 圖34 三大法人個別期貨淨未平倉口數對加權指數之衝擊反應過程 36 圖35 三大法人合計買賣超與淨未平倉口數對加權指數之衝擊反應過程 36 | |
dc.language.iso | zh-TW | |
dc.title | 三大法人現貨買賣超、期貨未平倉口數對加權指數之影響 | zh_TW |
dc.title | The Impacts of Spot Net Buy and Index Futures Open Interests of the Three Major Types of Institutional Investors on the Return of Stock Index | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李賢源,王耀輝 | |
dc.subject.keyword | 三大法人,買賣超,未平倉口數,時間序列, | zh_TW |
dc.subject.keyword | Three Major Institutional Investors,Net Buy,Open Interests,Time Series, | en |
dc.relation.page | 41 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-06-26 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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