臺灣博碩士論文加值系統

台灣自 2015 年 12 月起,先後引進 S&P 500 指數之正反 ETF 與日本東証單日正向 之兩倍 ETF,以期加速與國際市場的連結,並提供投資人多元投資之管道。本研究期望 除了在學術上從不同的觀點來預測 S&P 500 指數期貨之變動外,也能在實務上為投資人 在擬定投資策略、作避險規劃及資產配置等方面均提供重要的參考依據。
本研究先透過德爾菲法建立影響投資人購買 S&P500 指數期貨的關鍵因素之研究架 構,並運用決策實驗室網路程序分析法(D-ANP)向 13 位財務專家進行問卷資料分析, 進而探討投資人在交易 S&P500 指數期貨時,應考量的五項關鍵因素以及這五項因素彼 此間的關聯性,最後再以 Granger 因果關係、逐步迴歸分析與灰關聯分析(GRA)進行 驗證,本研究獲得之結論如下:
1. 本研究發現投資人在投資 S&P 500 指數期貨時,已從過去的只關注傳統技術層 面,逐漸轉移到總體經濟層面;而影響其決策的五個關鍵因素為「美元指數」、 「利率」、「製造業採購經理人指數」、「波動率指數」及「失業率」。
2. 本研究透過 Granger 因果關係檢定,以驗證各準則間之因果關係,發現「美元 指數」、「利率」與「製造業採購經理人指數」皆為影響 S&P 500 指數的重要因 素。
3. 本研究從逐步迴歸分析的驗證結果中,亦發現「波動率指數」、「美元指數」、「利 率」及「失業率」等四個準則都具有預測 S&P 500 指數的能力。
4. 本研究從灰關聯分析的驗證結果中發現,透過 D-ANP 獲得的五項準則,對於 S&P 500 指數期貨比道瓊指數期貨及 Nasdaq 指數期貨的解釋力都高;進一步 檢視 S&P 500 指數期貨中所含成份股之解釋力,又發現以工業股為最高,因此 本研究建議投資人在交易 S&P 500 指數期貨時,除了參考這五項關鍵因素外, 也應留意 S&P 500 指數工業成份股中所含之各股的股價波動。

Since December 2015, Taiwan’s Yuanta Daily S&P 500 Bull 1x ETF, Bull 2x ETF, and S&P 500 Bear 1x ETF, as well as Tokyo Stock Price Index 1x ETF have been listed at Taiwan Stock Exchange one after another. These listings not only connect Taiwan stock markets with international ones, but also provide international financial instruments with Taiwanese investors. This study not only attempts to provide a new perspective to forecast the fluctuations of S&P 500 index in academics, but also assists the investors to make their investment’s strategic decisions on hedging planning and asset allocations in practice.
This study first employs the Delphi method to construct a research framework and applies the D-ANP method to evaluate the weight of the influential factors on the S&P 500 index futures and explores the relevant relationship among these factors. Additionally, the Granger causality test, stepwise regression analysis and the Grey relational analysis (GRA) methods are used to verify the empirical results. The conclusions are summarized below.
1. This investigation finds that various investors of S&P 500 index futures have changed
their focuses from the technical analysis to the macroeconomic parameters when making their investment decisions. Five key factors, selected by the D-ANP method, affecting the fluctuations of S&P 500 index are US dollar index, interests rates, purchase management index, volatility index and unemployment rate.
2. Granger causality test is utilized to verify the causal relationship proposed by the D-ANP method. Empirical findings confirmed that US dollar index, interests rates and purchase management index are the main factors that causing the fluctuations of the S&P 500 index.
3. The stepwise regression result confirms that the predictive power of US dollar index, interests rates, volatility index and unemployment rate on the fluctuations of S&P 500 index.
4. The GRA result also confirms that the predictive power of the determinants suggested by 13 financial experts via D-ANP method on the fluctuations of S&P 500 stock index futures. The Grey relational grade (GRD) also proves that the S&P 500 index futures being evaluated as the most effective one among Dow Jones index futures, S&P 500 index futures and NASDAQ index futures. Furthermore, this study examines the explanatory power of the components of S&P 500 stock index futures and finds that the explanatory power of the S&P 500 industrial’s index outperforms the other S&P 500 indices, suggesting that the investors of trading S&P 500 index futures should not only consider the above five key factors, but also pay serious attention to the fluctuations of the price of each individual company of S&P 500 stock industrial index futures when making their investment decisions.

摘要 ........................................................................................................................ I ABSTRACT ......................................................................................................... II
致謝詞 ................................................................................................................. IV
目錄 ...................................................................................................................... V
第一章 緒論 ....................................................................................................... 1
第一節 研究背景與動機................................................................................1
第二節 研究目的............................................................................................2
第三節 研究流程............................................................................................3
第二章 文獻探討 ............................................................................................... 4
第一節、S&P 500 股價指數期貨 .................................................................... 4
第二節、影響 S&P 500 指數期貨投資人交易決策之因素 ........................... 5
第三節、以決策實驗室法為基礎的網路分析程序法 ................................... 8
第四節、灰關聯分析 ..................................................................................... 11
第三章 研究方法 ............................................................................................. 12
第一節 研究架構建立..................................................................................12
第二節 資料分析方法..................................................................................19
第三節 計量模型驗證..................................................................................24
第四節 灰關聯分析......................................................................................28
第四章 研究結果與分析................................................................................. 30
第一節 問卷設計..........................................................................................30
第二節 問卷分析..........................................................................................30
第五章 研究結果驗證 ..................................................................................... 38
第一節 計量模型驗證..................................................................................38
第二節 灰關聯分析......................................................................................45
第六章 結論與建議 ......................................................................................... 52
第一節 結論..................................................................................................52
第二節 研究限制............................................................................................56
第三節 研究建議............................................................................................56
參考文獻 ............................................................................................................. 57 附錄 A................................................................................................................62
附錄 B................................................................................................................66
附錄 C................................................................................................................69
附錄 D................................................................................................................74
圖1. 研究流程......................................................................................................3
圖2. AHP層級架構圖和ANP網路架構圖.................................................................8
圖3. AHP階層式網路圖及其對應之超級矩陣..........................................................9
圖4. 研究雛型架構...........................................................................................12
圖5. 修正後研究雛型架構......................................................................................16
圖6. 正式研究架構.............................................................................................. 18
圖7. 本研究之資料分析與方案評選模式..................................................................19
圖8. 準則因果關係圖範例................................................................................23
圖9. 準則因果關係圖.......................................................................................36
圖10. 各變數原始序列圖...................................................................................... 39
圖11. 各變數原始序列圖（續）........................................................................... 40
表1. 總體經濟指標之相關文獻彙整表.....................................................................6
表2. 技術層面之相關文獻彙總表............................................................................7
表3. 技術層面之相關文獻彙總表...........................................................................7
表4. 專家問卷調查成員..........................................................................................13
表5. 雛型架構範圍增減與說明................................................................................14
表6. 第一次準則重要性評分表..............................................................................17
表7. 第二次準則重要性評分表.............................................................................. 17
表8. 範例各準則對應之重要度及原因度..................................................................22
表9. Borda法則排序之準則權重範例........................................................................23
表10. 評分尺度說明................................................................................................30
表11. 對應準則之直接關係矩陣................................................................................31
表12. 對應準則之正規化直接關係..............................................................................31
表13. 對應準則之總影響關係矩陣..............................................................................32
表14. 對應準則之重要度及原因度..............................................................................32
表15. 各準則的因果類別彙整....................................................................................33
表16. 對應準則之超級加權矩陣................................................................................33
表17. 對應準則之極限超級矩陣...............................................................................34
表18. 基於D-ANP產生之準則權重............................................................................34
表19. Borda法則排序之準則權重..............................................................................35
表20. 準則間之影響關係確認..................................................................................36
表21. 變數名稱定義表............................................................................................38
表22. 敘述統計彙總表.............................................................................................39
表23. ADF單根檢定結果..........................................................................................40
表24. Johansen共整合檢定結果..............................................................................41
表25. VECM分析結果..............................................................................................41
表26. 修正誤差項調整速度....................................................................................42
表27. Granger因果關係檢定結果......................................................................42
表28. 逐步迴歸分析結果..........................................................................................43
表29. 各組報酬率T檢定結果比較............................................................................44
表30. 各成份股原始資料數列...................................................................................46
表31. 各成份股之參考數列與比教數列.....................................................................46
表32. 各準則之灰關聯係數....................................................................................47
表33. 各成份股之灰關聯係度..............................................................................48
表34. 三大指數期貨原始資料數列........................................................................49
表35. 三大指數期貨之參考數列與比教數列............................................................49
表36. 各準則之灰關聯係數..............................................................................50
表37. 三大指數期貨之灰關聯度..............................................................................50

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