三大法人未平倉量與報酬關係-以台灣期貨市場為例

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。

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.