投資人情緒指標與期貨報酬關聯性之探討

Abstract

本研究的為探討台灣期貨指數和投資人情緒指標間之關聯性。本研究以投資人情緒指標作為市場情緒的代理變數並著重於兩個主題探討；第一個主題為期貨報酬分別與投資人情緒指標波動率指數、賣買權成交比和賣買權未平倉比同期的變動關係，首先探討期貨指數漲跌時對於情緒指標是否存在不對稱性，同時了解情緒指標與期貨報酬之間的關係；再引入台灣國安基金的影響，研究國安基金進場前後一年期貨報酬對於情緒指標的影響是否存在差異，並嘗試引入虛擬變數以消除期貨上漲、下跌帶來的不對稱性效果；最後則是利用迴歸分析比較三個情緒指標間，何者對期貨報酬具較佳解釋力。第二個主題則是探討投資人情緒指標波動率指數、賣買權成交比和賣買權未平倉比與未來期貨報酬可能的關係，探討每個情緒指標的預測能力。 實證的結果發現正負期貨報酬確實對波動率指數有不對稱性的效果，下跌時波動率指數的反應較上漲時來的更劇烈；且國安基金對波動率指數有穩定情緒的作用，預測能力方面，對於未來一周期貨報酬的預測能力賣買權成交比最佳，一個月的預測能力則是波動率指數最佳，而一季以上的預測能力則為賣買權未平倉比表現最良好。

In this study, we use sentiment indicators as proxy variable of investor sentiment to analyze the relationship between the investor sentiment and TAIEX futures returns. These Indicators include the volatility index (VIX), and put-call ratio of volume (pcvol), the put-call ratio of open interest(pcoi). We focus on two closely related topics that deal with the empirical link between sentiment Indicators and TAIEX futures returns , assessing (1) the contemponineous relationship between relative changes in sentiment Indicators and TAIEX futures returns, and (2) the possible relationship between sentiment Indicators and future TAIEX futures returns. In the first case, We thus look at the simultaneous changes in the sentiment Indicators and TAIEX futures index, examine asymmetric relations among objects and analyze the impact of National Finance Stabilization Fund. In the second case, We focus on the 'does fear mean opportunity' question in examining the predictive power of popular market-based sentiment Indicators. This study shows there is a strong negative relationship between contemporaneous changes in sentiment Indicators and TAIEX futures index, the relationship is asymmetric; negative returns for the TAIEX futures index are associated with much greater relative changes than positive returns in the volatility index. There is some evidence that positive forward-looking returns are to be expected for long positions in the TAIEX futures triggered by high levels of the volatility indexes. And extreme high volatility ,put-call ratio of volume level or extreme low put-call ratio of open interest indicate oversold market, on the other hand ,extreme low put-call ratio of volume or extreme high put-call ratio of open interest indicate overbought market.