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Author: 吳仲康
Chung-Kang Wu
Thesis Title: 台灣機構投資人在現貨及期權持有部位之籌碼面指標對台指期價格走勢的影響分析:建構台灣期貨市場交易策略
Analysis of the Impact on Taiwan Index Futures Price from the Institutional Investors' Holdings of Stocks, Futures and Options:Construction of Taiwan Futures Market Trading Strategies
Advisor: 繆維中
Wei-Chung Miao
Committee: 劉代洋
Day-Yang Liu
陳俊男
Chun-Nan Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2019
Graduation Academic Year: 107
Language: 中文
Pages: 69
Keywords (in Chinese): 相關係數迴歸分析逐步迴歸期貨選擇權
Keywords (in other languages): Correlation coefficient, OLS, Stepwise regression, Futures, Option
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  • 金融市場發展愈趨多元,不免受到眾多因素交錯影響,基本面、技術面、籌碼面、消息政策面皆有可能造成市場波動。本研究主要關注籌碼面上,現期權類別的籌碼變動與台指期貨漲跌之動態關聯性,此外在複迴歸模型下執行當沖、波段交易之績效探討。
    首先在現期權籌碼與台指期漲跌關聯性分析部分,本研究先以相關係數矩陣與單變量迴歸模型來分析個別現期權籌碼因子與台指期貨的相關性,並進一步使用多變量迴歸模型來探討籌碼與台指期貨間跨期的相互影響性。此外由於籌碼數據皆是連續型資料,當變動幅度過小,將不易對隔天台指期貨造成影響,本研究利用虛擬變數分級距的方式,將連續型籌碼資料做一結構上轉換,藉此過濾影響性不大之樣本所產生的交易訊號,進而降低交易成本,即可在淨利與勝率上有所提升。
    實證結果顯示,在現期權籌碼與台指期漲跌關聯性部分,籌碼變動對台指期有影響,而期貨與選擇權類型的籌碼影響性更甚於現貨類型的籌碼,週選擇權市值變化前一期對台指期影響最為顯著,分級型籌碼因子所建構的模型R2略高於連續型籌碼因子。當沖、波段交易部分,波段策略明顯有較佳的結果,分級型籌碼因子所建構的波段策略績效高於連續型籌碼因子所建構的波段策略,風險也低於連續型籌碼因子所建構的波段策略。


    As the financial markets become increasingly diversified, they are inevitably affected by many factors. Changes in the fundamental, technical, chip and news/ policy factors are likely to cause market volatility. This study focuses on the dynamic correlation between the changes in the chip factor, i.e. institutional investors’ holdings of the stocks, index futures and options, and the rise and fall of the Taiwan index futures price. In addition, the performance of the undershoot and band trading is studied under the framework of the linear regression models.
    In the analysis of the dependence between the chip factor and futures price, this study first investigates the correlation coefficient matrix between the chip factor (institutional investors’ holdings) and the Taiwan index futures price. It is then followed by the simple and multiple linear regression models to explore the inter-phase interaction between the chip factor and the Taiwan index futures price. In addition, since the chip data are continuous, when the range of their fluctuation is small, they are not able to provide information about the next-day index futures price movement. As a remedy, in this study the hierarchical distance method is used to make a continuous conversion of the chip data, thereby filtering the influence. The trading signals generated by the large sample, which in turn reduces the transaction cost, can improve the net profit and winning percentage.
    The empirical results show that in the correlation between the chip factor and the Taiwan index futures price, the chip change has an impact on the Taiwan index futures price, while the futures and option type chips have even stronger influence than the stock type chips. Moreover, the changes in the weekly options market value had the most significant impact on the Taiwan index futures price, and the model R-squared constructed by the hierarchical chip factor was slightly higher than the case with the continuous chip factor. In the daytrade and band trading, the band strategy has apparently better results. The performance of the band strategy constructed by the hierarchical chip factor is higher than that constructed by the continuous chip factor, and the risk is lower than the band constructed by the continuous chip factor.

    摘要 I ABSTRACT II 誌謝 III 圖目錄 VI 表目錄 VIII 第 1 章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 2 1.3 研究架構 2 第 2 章 市況分析與文獻回顧 5 2.1 台灣期貨市場發展歷程 5 2.2 台灣期貨市場現況 7 2.3 國內外文獻回顧 9 2.3.1 國內文獻 9 2.3.2 國外文獻 11 第 3 章 研究方法 13 3.1 相關係數 13 3.1.1 相關係數檢定 13 3.1.2 判定係數 14 3.2 迴歸分析 14 3.2.1 多元共線性(Multicollinearity) 15 3.2.2 逐步迴歸(Stepwise regression) 15 3.2.3 虛擬變數(Dummy variable) 16 3.3 研究對象與期間 16 3.3.1 研究對象與資料來源 16 3.3.2 研究期間 17 3.4 資料前置處理 17 3.4.1 一階變量 18 3.4.2 百分比變化量 20 3.5 研究設計 20 3.5.1 實驗組-複迴歸模型 20 3.5.2 對照組-技術面&單一籌碼面 22 第 4 章 實證分析 23 4.1 資料來源與變數定義說明 23 4.2 敘述統計 23 4.3 相關係數分析 26 4.4 迴歸模型分析 28 4.5 現期權籌碼與台指期當沖、波段交易回溯測試 36 4.6 交易回溯測試結果 47 第 5 章 結論及建議 56 5.1 研究結論 56 5.2 研究發展與建議 57 參考文獻 58

    一、中文部分
    1.林子欽(2016) 比較外資買賣與台指數關係:運用類神經網路預測。國立中興大學高階經理人未出版碩士論文,台中市。
    2.林軒白(2016) 外資與投信之買超行為及資訊價值。國立臺灣大學財務金融學研究所未出版碩士論文,台北市。
    3.洪亦人(2015) 外資法人投資行為與台灣股價漲跌關聯之研究。中國文化大學資訊管理學系未出版碩士論文,台北市。
    4.顧明仁(2017) 外資交易對臺股報酬率及波動影響之結構改變。大同大學設計科學研究所未出版碩士論文,台北市。
    5.查欣瑜(2011) 法人籌碼對台股未來走勢影響之研究,國立交通大學財務金融研究所碩士論文。
    6.黃祺敦(2012) 運用當日籌碼面變數預測隔日股價方向,國立中正大學國際經濟學研究所碩士論文。
    7.郭裕凉(2013) 三大法人籌碼面預測臺灣加權股價指數之研究,國立高雄應用科技大學金融資訊研究所碩士論文。
    8.李建楷(2013) 臺股指數期貨交易策略之研究-考量技術指標與外資期貨籌碼,朝陽科技大學財務金融研究所碩士論文。
    9.陳彬洲(2013) 基本面、籌碼面與總體面對股票報酬影響,亞洲大學財務金融研究所碩士論文。
    10.林佳興(2018) 技術指標與籌碼分析在箱型理論之研究。輔仁大學企業管理學系管理學碩士在職專班碩士論文。
    11.涂秋玲,「我國期貨市場之建置」,證券暨期貨月刊第二十九卷第十一期,p.42-44。

    二、英文部分:
    1.Lakonishok, Shleifer, J. A. and Vishny, R. W. (1992),“The Pact of Institutional Trading on Stock Price, Journal of Financial Economics, pp.23-43.
    2.Kwan,F.B., and M.G. Reyes (1997),“Price effects of stock market liberalization in Taiwan,” Quarterly Review of Economics and Finance 37(2), 511-522.
    3.Rafiqul Bhuyan, Mo Chaudhury (2001),“Trading on the Information Content of Open Interest:Evidence from the US Equity Options Market” ,Derivatives,Vol.11,No.1,pp.16-36.
    4.Sandeep Srivastva (2003),“Informational Content of Trading Volume and Open Interest – an Empirical Study of Stock Option Market in India”,NSE Research Initiative Working Paper,No. 29.
    5.Brad M. Barber,et al. (2004),“Who Gains from Trade?Evidence from Taiwan ” ,Working Paper,Univ. of California-Berkeley,2004.
    6.Chaoshin, C.,& Ko-I, L. (2004). “The Informative Content of the Net-Buy Information of Institutional Investors:Evidence from the Taiwan Stock Market.Review Of Pacific Basin Financial Market & Policies, 7(2),259-288.
    7.Foster F. Douglas, David R. Gallagher and Adrian Looi (2011),“Institutional trading and share returns,”Journal of Banking & Finance 35, 3383-3399.

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