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    Title: 國際金融股市對台股變化受期貨未平倉量之影響變化關係探討
    Other Titles: Non-linear Analysis on the relationships among international stock markets and Taiwan stock market under differences of institutional investors' open interest
    Authors: 湯政國;Tang, Cheng-Kuo
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;林建甫;Nie, Chieh-Chung;Lin, Chien-fu
    Keywords: 三大法人;未平倉量;平滑移轉迴歸模型;three institutional investors;open interest;Smooth Transition AutoRegression
    Date: 2015
    Issue Date: 2016-01-22 14:47:38 (UTC+8)
    Abstract: 本研究係以美國、日本及南韓的股市漲跌幅配合台灣期貨交易所公佈之三大法人(投信、外資、自營商)每日期貨未平倉餘額的資料進行分析研究,透過對加權股價指數收盤價之日資料,探討國際金融股市在三大法人未平倉量的變化下是否對股價報酬率存在非線性之影響。
    在研究方法上本文採用Granger and Teräsvirta(1993)and Teräsvirta(1994)提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STR)來探討在不同的轉換變數模型下對股價報酬率非線性影響之探討。
    由實證結果發現,在三大法人期貨未平倉空單達門檻值以上時,其中以韓國的連動性相較其他國家來的強烈,而在三大法人期貨未平倉空單少於門檻值時,雖然美國和日本對於台股的影響力似乎沒有這麼大,不過韓國對於台灣的影響力相對地更為強烈,或許是因為其他國家有一些政治上的因素造成影響的效應有所變化,但是由於韓國部分因為和台灣有時差上的關係,所以在台灣時間相對來說是提早了一個小時開盤,因此在台灣股市開盤之前,或許能夠參考這三大國家尤其是韓國股市的漲跌幅,並且配合三大法人在台灣期貨市場的未平倉量,來作為投資大眾操作的參考依據。
    The study analyzes the daily open interest of major institutional investors and foreign country stock index returns (including USA, Japan and Korea) as a threshold variable to examine whether international stock markets have non-linear effects on the Taiwan stock index return.
    The empirical result shows that Korea’s stock index return has the most influence on Taiwan’s stock index return when futures open interest over the threshold. Moreover, when futures open interest under the threshold, Korea’s stock index return also has more significant interactions with Taiwan’s stock index return than other
    countries.
    Therefore, domestic investors can use information about other countries stock index returns, especially Korea’s, and the open interest of three main institutional investors in Taiwan’s futures market to expect the future trends in the Taiwan’s stock market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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