研究生: |
呂宛儒 Wan-Ju Lu |
---|---|
論文名稱: |
期貨自營商交易行為研究--以台指期貨為例 The Investment Behavior and Performance of Futures Dealer: A Study of TAIEX |
指導教授: |
陳俊男
Chun-Nan Chen |
口試委員: |
陳嬿如
none 黃瑞卿 none 林軒竹 none |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2013 |
畢業學年度: | 101 |
語文別: | 中文 |
論文頁數: | 61 |
中文關鍵詞: | 期貨自營商 、台灣期貨市場 、贏家 、輸家 |
外文關鍵詞: | Loser, Winner, Taiwan Futures Market, Futures dealer |
相關次數: | 點閱:451 下載:6 |
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本研究將期貨自營商分為贏家和輸家,發現,期貨自營商報酬主要差異來自於部位損益,故進一步欲探討下單時間、平均下單口數、市價單、限價單、積極單、消極單等行為模式是否為造成贏家和輸家主因,研究期間從2006年3月27日至2008年7月31日,使用變異數分析、迴歸分析、虛擬變數分析和無母數分析。結果顯示,期貨自營商報酬差異來自於部位損益,主要因買單比例和賣單比例有差距。隱含贏家較輸家更能預測市場趨勢,因此做多、做空策略不同,留倉賺取更多損益。
另外,研究發現一些有趣現象,無論是贏家亦或是輸家,同一天內,限價單在開盤前五分鐘下單比例即佔了86%~88%、而市價單下單比例更高達100%。即期貨自營商,只會在開盤後5分鐘內,下積極市價單。且不論贏家或輸家,在開盤後15分鐘,下單量即達到全天百分之87%~100%。
再者,針對積極限價單、消極限價單、積極市價單做討論,發現下單種類非常單純且集中,有76%交易者,傾向在同一天只下一種單、剩下22%交易者,在同一天下兩種單、而只有1%交易者,當天三種單都有下。
本研究發現,期貨自營商在買單賣單之交易行為不同,未來,可再加入趨勢,再去探討是否買單以高於昨日收盤價或低於昨日收盤價買進或賣出,期貨自營商是否在行情看漲時追價,或者在趨勢下滑時低接;或者賣單是否追空,或者高空。是否輸家有著”賣盈守虧”的現象?在部位損益賺錢時,未平倉量(OI)的變化是增加還是下降?或許可作為期貨投資者之參考。
The research separates futures dealers into winners and losers. Discover that the difference between dealers’ return mainly come from position payoff. Then the reasons causing the difference will be further discussed, for example investigate in the order time, the average time of the order to deal time, the average of order quantity, the status of using market order, limit order, passive order and aggressive order.
The research period started from March 27th, 2006 ended in July 31th, 2008. Anova, regression, dummy regression and non-parameter analysis are used. The result indicates that the payoff between winners and losers mainly come from position payoff, especially between buying ratio and selling ratio. It indicates that winners could predict the trend of the market more than losers, they use the different strategy, leaving open interest to make more profit.
Furthermore, there is an interesting phenomenon in this research: No matter winners or losers, the limit order reached 86% to 88% and the market order achieved even 100% in the first five minute. It mentions that if the futures dealer has market order, it only happens in the first five minute. Second, no matter the dealer is winner or loser, the order quantity accounts for 87% to 100% from the whole day’s quantity in the first 15 minutes.
Third, we discover that the order types are really concentrated in the discussion among the aggressive limit order, passive limit order and aggressive market order. Nearly 76% of the traders tend to order only one type among the three types order at the same day; 22% of the traders order two types and only 1% order three types.
According to the research, futures dealers have a different preference in buying and selling trading behavior. In the future, the market trend might be considered as one parameter in the research: Whether it should be bought in or sold out when the deals higher than the closing index or lower than closing index; Whether dealers stick with the price in the bull market or long the futures when the economic in the bad situation; When they want to sell, whether they should short futures in a down trend or from the high point? Is there the phenomenon of "sell surplus and keep loss" for the losers? When there is a surplus in position payoff, what is the change in open interest? Is it increase or decrease? Perhaps these are the tips for the further research and hope to find out a reference for futures investors.
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