請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16067
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳明賢(Ming-Shen Chen) | |
dc.contributor.author | Chung-Yueh Wang | en |
dc.contributor.author | 王忠嶽 | zh_TW |
dc.date.accessioned | 2021-06-07T17:59:51Z | - |
dc.date.copyright | 2012-08-27 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-08-08 | |
dc.identifier.citation | 中文部分
1. 柳如萍,台灣股價指數期貨與現貨互動關係之研究,國立政治大學企業管理研究所,1999。 2. 李光輝,歐興祥,張炳耀,外資與我國股市互動關係之討論,中央銀行季刊,第二十二卷,2000。 3. 王月玲,外資對台灣股市的影響,國立政治大學金融研究所,2003。 4. 陳美吟,類別交易者交易行為之研究:台灣期貨市場之實證,國立成功大學企業管理研究所,2003。 5. 李校德,未平倉量與價格波動性之關聯性,淡江大學財務金融學系,2004。 6. 李袁寬,交易人淨部位與期貨報酬之動態關聯,國立高雄第一科技大學財務管理所,2005。 7. 林昭賢,期貨交易者與期貨價格行為關係的三個議題探討,國立成功大學企業管理研究所,2005。 8. 曾冠儒,三大法人於台灣期貨市場未平倉部位之研究,國立中正大學財務金融所,2008。 9. 李盈儀,未平倉量與交易量對期貨價格與波動性的影響:部位限制干擾的效果,2008。 10. 劉昱劭,台灣期貨市場交易者未平倉部位與報酬互動之研究,國立高雄第一科技大學金融系,2009。 英文部分 1. Chang, E.C. (1985), “Returns to speculators and the theory of normal backwardation,” Journal of Finance, 40, 193-208. 2. Chiang, M.H., and Wang, C.Y. (2002), “The impact of futures trading on spot index volatility: evidence for Taiwan index futures,” Applied Economics Letters 9, 380-386. 3. De Long, J.B., A. Shleifer, Summers, L.H. and Waldman, R.J. (1990), “Positive Feedback Investment Strategies and Destabilizing rational speculation,” Journal of Finance 47, 56, 10-25. 4. Dickey, D.A. and Fuller, W.A. (1979) “Distribution of the estimates for autoregressive time series with a unit root,” Journal of the American Stastical Association, 74, 427-431. 5. Dickey, D.A. and Fuller, W.A. (1981) “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49, 1057-1072. 6. Fama, E.F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical,” Journal of Finance, 25, 383-417. 7. Fisher, K.L., and M. Statman (2000), “Investor sentiment and stock returns,” Financial Analysis Journal, 56, 16-23. 8. Granger, C.W.J. and Newbold, P. (1974), “Spurious regression in econometrics,” Journal of Econometrics, 2, 111-120. 9. L.R Wang and C.H Shen, “Do foreign investments affect foreign exchange and stock markets – the case of Taiwan, ” Applied Economics, v31 i11 p1303, 1999 10. Olsen, A. Robert (1998), “Behavioral Finance and its Implications for stock-Price Volatility,” Financial Analysts Journal, 10-18. 11. Rozeff and Kinney(1976), “Capital Market Seasonality: The case of Stock Returns,” Journal of Financial Economics, 3, 379-402. 12. Ritter, J.R. (1991), “The Long-run Performance of Initial Public Offerings,” The Journal of Finance, 50, 23-51. 13. Shefrin, H., and Statman, M. (1985), “The disposition to sell winners too early and ride losers too long: Theory and evidence,” Journal of Finance 40, 287-792. 14. Shiller, R. (1984), “Stock prices and social dynamics,” Brookings Papers on Economic Activity 2, 457-510. 15. Wang, C. (2001), “Investor sentiment and return predictability in agricultural futures markets,” The Journal of Futures Markets, 21, 929-952. 16. Wang, C. (2002), “The effect of net positions by type of trader on volatility in foreign currency futures markets,” The Journal of Futures Markets, 22, 427-450. 17. Wang, C (2003), “The Behavior and performance of major types of futures traders,” The Journal of Futures Markets, 23, 1-31. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16067 | - |
dc.description.abstract | 本研究主要依據三大法人在期貨市場中的未平倉量探討三大法人在市場中的
行為以及未平倉量與期貨指數報酬率的關係。過去文獻大多將三大期貨指數:台 灣加權股價指數、電子指數期貨、金融指數期貨分開討論。本文將三大期指合併 做一約當未平倉量,此法能讓三大法人對於未來的看法更加清楚的顯示。研究期 間從2008 至2011 年,歷經多空循環。 實證結果指出,外資法人為市場中交易量最大與影響力最大的交易者,約當未 平倉的變動量對於下一期的報酬率影響為正。三大法人在市場的擇時能力都不錯。 另外,外資在市場中為負向回饋交易者,在市場角色為投機者,傾向了結獲利部 位;攤平虧損部位,投信與自營在市場上為正向回饋交易者,在市場角色為避險 者,傾向加碼獲利部位;減碼虧損部位。 | zh_TW |
dc.description.abstract | The purpose of this paper is to investigate the relationship between the return of Taiwan stock index futures and the behavior of three main institutional investors with open interest in Taiwan futures market. The three index futures, Taiwan stock index futures, Electronic Sector index futures, and Financial Sector index futures have been discussed separately in several studies in the past. In this paper, we merge the open interest of the three index futures as an equivalent open interest. In this approach, we can get a clear view of the three institutional investors. This study performs an empirical analysis of the three index futures from January, 2008 to December, 2011.
Empirical results indicate that foreign investors have the most trading volume and also have the greatest impact on the market. The effect of the change of equivalent open interest to the next period return is positive. All of the three institutional investors have good trading ability in the market. Foreign investors are negative feedback trader, they increase the position when they lose, and decreasing the position when they win. On the contrary, Investment trust and Dealer are positive feedback trader, they increase the position when they win, and decreasing the position when they lose. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T17:59:51Z (GMT). No. of bitstreams: 1 ntu-101-R98723051-1.pdf: 441882 bytes, checksum: a582302be71b63c6a6c5bd55c41a0a2b (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 目 錄
謝詞…………………………………………………………………… i 中文摘要……………………………………………………………... ii 英文摘要……………………………………………………………... iii 目錄…………………………………………………………………... iv 表目錄……………………………………………………………….. vi 圖目錄………………………………………………………………. vii 第一章 緒論………………………………………………………… 1 1.1研究動機與目的………………………………………………... 1 1.2本文架構……………………………………………………… 3 第二章 文獻回顧…………………………………………………. 4 2.1三大法人的投資類別與行為…………………………………. 4 2.2未平倉量所隱含價格的意義與對報酬率的影響……………. 6 第三章 研究方法…………………………………………………. 8 3.1資料來源與研究方法…………………………………………. 8 3.2單根檢定……………………………………………………….. 9 3.3 Granger因果關係檢定………………………………………….. 10 3.4迴歸模型………………………………………………………. 11 3.5向量自我回歸…………………………………………………. 13 3.6衝擊反應函數…………………………………………………. 14 3.7預測誤差變異數分解…………………………………………. 14 第四章 實證結果與分析…………………………………………… 15 4.1敘述統計分析………………………………………………… 16 4.2單根檢定………………………………………………………. 17 4.3 Granger因果關係檢定…………………………………………. 18 4.4交易者類別與市場擇時能力…………………………………. 20 4.5 VAR模型……………………………………………………… 22 4.6衝擊反應函數…………………………………………………. 25 4.7預測誤差變異數分解…………………………………………… 28 第五章 結論與研究建議…………………………………………… 30 1.1結論……………………………………………………………. 30 1.2研究建議與限制……………………………………………… 31 參考文獻…………………………………………………………… 32 附錄………………………………………………………………….. 35 表目錄 表4.1.1基本敘述統計量_未平倉部位……………………………. 16 表4.1.2基本敘述統計量_約當未平倉量…………………………. 16 表4.2變數單根檢定……………………………………………….. 17 表4.3.1 最適落後期數…………………………………………….. 18 表4.3.2 變數間因果關係檢定…………………………………….. 18 表4.4.1市場擇時能力迴歸結果…………………………………. 20 表4.4.2 市場角色迴歸式………………………………………… 21 表4.6為衝擊反應函數結果整理………………………………….. 27 表4.7 變異數分解…………………………………………………. 29 表4.5VAR模型分析結果………………………………………… 35 圖目錄 圖4.6.1 衝擊反應函數圖…………………………………………… 27 圖4.6.2 報酬率之衝擊反應圖……………………………………… 38 圖4.6.3 外資之衝擊反應圖………………………………………… 38 圖4.6.4 投信之衝擊反應圖………………………………………… 39 圖4.6.5 自營之衝擊反應圖………………………………………… 39 | |
dc.language.iso | zh-TW | |
dc.title | 三大法人未平倉量與報酬關係-以台灣期貨市場為例 | zh_TW |
dc.title | The Relationship between Futures Return and Open Interest of Institutional Investors in Taiwan Futures Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),陳業寧(Yeh-Ning Chen) | |
dc.subject.keyword | 三大法人,期貨,未平倉,留倉,報酬率, | zh_TW |
dc.subject.keyword | Institutional investors,futures,open interest,futures return, | en |
dc.relation.page | 39 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2012-08-08 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-101-1.pdf 目前未授權公開取用 | 431.53 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。