外資交易、信用交易與台灣加權指數關聯之研究

Abstract

外資於現貨市場以及期權市場的動向，一直是影響台灣加權指數的重要因素;另一方面，市場融資以及市場融券也相當程度的反應投資人對於市場的看法，因此本文中即納入相關的變數，包含外資每日的現貨買賣超、外資期權多空交易淨部位、外資期權未平倉量、每日市場的融資、融券淨額進行探討。 本文以2008/1/2至2013/12/31的資料，並針對探討之變數，進行單根檢定，以確定各變數是否符合定態，接著進行向量自我迴歸模型設定以及Granger因果關係檢定，最後建立以加權指數變動量為因變數的迴歸模型，探討本文中討論的自變數，對於加權指數變動量的影響。 由迴歸模型的結果發現，對於加權指數變動量有顯著影響的變數，包含外資每日的現貨買賣超、外資期權多空交易淨部位、每日市場的融資淨額、市場融券淨額。 最後則對本文尚未探究的議題，給予建議，包含納入三大法人部位，以及分別考量期貨與選擇權部位以供日後相關的探討。

Foreign investment institutions is always the most important factor affect TSE index; on the other hand, market debit balance for financing and bearish reflect the viewpoints of investors. Therefore, this thesis discusses some relative variables, including foreign investment institutions net buy, foreign investment institutions open interest and net position, market debit balance for finance and bearish. The data are from 2008/1/02 to 2013/12/31 , and we use unit root test to confirm all variables are stationary, and then construct vector autocorrelation model, Granger causality test. In the end, we construct a regression model based on the spread of TSE index as dependent variable in order to discuss the effect which caused by dependent variables including in the thesis. From the regression model in the thesis , we found variables as foreign investment institutions net buy market , OI net position , debit balance for financing and bearish cause significant effect on spread of TSE. The last part is suggestion to the field which is not cover in this thesis, such as including all positions of investment institutions or separating options and future positions, in order to make more deeply research.