跳到主要內容

臺灣博碩士論文加值系統

(3.235.120.150) 您好!臺灣時間:2021/07/31 15:18
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:劉家銘
研究生(外文):James Liu
論文名稱:跟隨大戶是有利的嗎?台指期貨市場之實證結果
論文名稱(外文):Is it a good idea to follow the Pros?An empirical investigation for TAIFEX of Index Futures
指導教授:楊聲勇楊聲勇引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:高階經理人碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
畢業學年度:96
語文別:中文
論文頁數:33
中文關鍵詞:台指期貨台指選擇權賣/買權比(put/call ratio)台指期貨大額交易人未平倉淨部位賣成筆/買成筆大戶情緒指標
外文關鍵詞:TAIEX FuturesTAIEX OptionsPut/Call ratioTAIEX Futures Open Interest of Large Traderssell deals/buy deals
相關次數:
  • 被引用被引用:12
  • 點閱點閱:677
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
目前我國有關法人與大額交易人在台指期貨市場是否佔有優勢的討論極少,因此我們希望找出有效的大戶情緒指標,並檢測大戶在台指期貨市場是否佔有優勢。期望透過本文的研究成果,能夠對台指期貨市場的實證研究有所貢獻。
跟隨大戶操作台指期貨是否能夠獲利,是本篇研究的探討要點。本研究蒐集了台灣期貨交易所提供之交易數據:近月「台指選擇權未平倉部位」、「台指期貨大額交易人未平倉部位結構表」與「台指期貨賣成筆、買成筆」為研究樣本,計算出近月「台指選擇權賣/買權比(put/call ratio)」、「台指期貨大額交易人未平倉淨部位」與「台指期貨賣成筆/買成筆」三項大戶情緒指標,透過迴歸分析檢測該三項指標與近月台指期貨走勢的相關性。並進一步去檢測實務經驗上的門檻和大戶情緒指標轉換時,與台指期貨報酬之間的關係。
其中「台指期貨賣成筆/買成筆」是過去沒有人討論過的資料,其特性在於它是一個同時指標,可以即時取得並即時運用,另外「台指期貨大額交易人未平倉淨部位」在過去也鮮有人對其進行討論,為本研究的特別之處。
實證研究結果顯示:該三項指標與台指期貨報酬有很顯著的正相關,表示追隨大戶情緒指標操作(與散戶採相反立場)可以預期台指期貨報酬。另外我們還發現當大戶情緒指標轉換時(賣權/買權比(put/call ratio)由看空轉為看多時、賣成筆/買成筆由看多轉為看空時),與台指期貨報酬呈現更為顯著的正向關係。
In relevant literature, there are few researches focusing on the role and their dominant position of the institution investors and/or the large traders in Taiwan index futures market. This study is designed to fill the gap by investing whether there is an effective emotional indicator (index) extracted from trading of those large traders that is informational for investment. More specifically, we want to examine if the large traders could take the dominant position in the market. We are expecting that this research can make a contribution to the literature of Taiwan index futures market.
We collected the trading data reported from Taiwan Futures Exchange (TAIFAX). The data included TAIEX Options Open interest, TAIEX Futures Open Interest of Large Traders, and Taiwan index buying and selling deals. Using these data we calculated put/call ratio, open interest, and sell deals/buy deals, as proxies for three large traders’ emotional indexes. We apply the regression model to test the relation between the three indexes and the returns of TAIEX futures. We find that all three indexes have positive and significant effect on the TAIEX, which is the same with our expectation.
第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機與目的 1
第三節 研究程序與步驟 4
第二章 文獻探討 5
第一節 群聚效應(herding)與損失規避理論相關文獻 5
第二節 賣/買權比(put/call ratio)對市場影響的相關文獻 5
第三節 未平倉量對市場影響的相關文獻 6
第四節 法人與大額交易人對市場影響的相關文獻 7
第三章 研究方法 9
第一節 研究期間與資料來源 9
第二節 大戶情緒指標解釋 9
第三節 研究假設與模型 18
第四章 實證結果 21
第一節 情緒指標對台指期貨報酬的相關性 21
第二節 當情緒指標轉換與台指期貨市場報酬的相關性 27
第三節 檢測市場實證效應 28
第五章 結論與建議 30
參考文獻 32
葉鳳琴(2002)三大法人投資行為與加權股價指數互動關係之探討,淡江大學財務金融所
林育屏(2005)法人日內投資行為及跟隨法人投資策略,中央財務金融系所
賴展慶(2001)三大法人投資行為對台灣股價指數影響之實證研究Nonparametric Kernel Method之應用,實踐大學企業管理系所
伍尚文(2005)台指選擇權及期貨操作之研究-運用買賣權結構比例及週技術指標, 國立臺灣科技大學財務金融研究所
吳慧娟(2005)情緒指標在期貨市場的應用,輔仁大學金融研究所
Brown, G. W., and M. T. Cliff, 2004, Investor Sentiment and the Near-Term Stock Market," Journal of Empirical Finance, 11, p.127.
Chang, L.K., Jegadeesh, N., and J. Lakonishok. “Momentum Strategies,” Journal of Finance 51,(1996), pp 1681-1713.
Dreman, D., 1979, “Contrarian Investment Strategy: The Psychology of Stock Market Success, ” Random House, N.Y.
Papers on Economic Activity, 2, 504-508.
Froot, A, Kenneth, David S. Scharfestein, and Jeremy Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation,” Journal of finance, 47, 1461-1484.
Grinblatt, M. and M. Keloharju. “The Investment Behavior and Performance of VariousInvestors: A Study of Finland’s Unique Data Set,” Journal of Financial Economics 55,(2000), pp 43-67.
Lasfer M.A., Melnik, A., and D.C. Thomas. “Short-Term Reaction of Stock Markets in Stressful Circumstances,” Journal of Banking and Finance 27, (2003), pp 1959-1977.
Petere Bank, Dietmar Baum,2004, Hedging and Portfolio Optimization in Financial Markets with a Large Trader, Mathematical Finance, Vol. 14, pp. 1-18
Philipp Schmitz, and Martin Weber, 2007, Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders? Working paper
Scharfstein, D.S. and J.C. Stein. “Herd Behavior and Investment,” American EconomicReview 80, (1990), pp 465-479.
Shi-Hong Su,2004,The buying pressure influence the change of implied volatility in the index option market: Are the mainly for hedgers in Taiwan index option market?
Rafquiel Bhuyan,2002, Ex-ante Portfolio Design with Ex-post Public Information: An Empirical Examination of the Information Content of Equity Open Interests, Working paper
Raymond M. Leuthold ,Philip Garcia, and Richard Lu, 1994,The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market, JOURNAL OF BUSINESS, Vol 67 No 3
Tz-Yu Ruan,2006,Knowledge Discovery in Taiwan Stock Market Chips by Genetic Algorithm, NCTU
Shalen, T. V. (1993). Volume, volatility, and the dispersion of beliefs. Review ofFinancial Studies, 6, 405–434.
Shi-Hong Su,2004,The buying pressure influence the change of implied volatility in the index option market: Are the mainly for hedgers in Taiwan index option market?,NCTU
Prechter, R.R. “Unconscious Herding Behavior as the Psychological Basis of Financial Market Trends and Patterns,” Journal of Psychology and Financial Markets 3, (2001),pp 120-125.
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
Wang, C. ,2003,“Investor sentiment, market timimg, and futures returns.” Applied Financial Economics, 13, 891-898.
Yul W. Lee and Zhiyi Song , 2003, When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies. Working paper
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊