三大法人在期貨市場買賣超對股價報酬率非線性影響之探討

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/31778

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题名:	三大法人在期貨市場買賣超對股價報酬率非線性影響之探討
其它题名:	The nonlinear study of the effect of the net buy/sell position of three institutional investors on the Stock returns
作者:	李仁君;Lee, Jen-chun
贡献者:	淡江大學財務金融學系碩士在職專班聶建中;Neih, Chien-chung
关键词:	三大法人;期貨買賣超;平滑移轉迴歸模型;three institutional investors;the net buy/sell position;Smooth Transition AutoRegression
日期:	2009
上传时间:	2010-01-11 01:15:20 (UTC+8)
摘要:	本研究係以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之契約金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，探討三大法人在期貨市場上的買賣超是否對股價報酬率存在非線性之影響。在研究方法上本文先對樣本資料作單根檢定，再採用Granger and Teräsvirta（1993）and Teräsvirta（1994）提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STAR)來探討在不同的轉換變數模型下，投信當期的期貨買賣超、外資當期的期貨買賣超、自營當期的期貨買賣超以及自營前2期的期貨買賣超對股價報酬率非線性影響之探討。由實證結果發現，對股價報酬率的影響：自營商>外資>投信。究其原因可能為，自營商主要著眼於績效的獲利創造上，因此，對行情的研判最為主觀，故期貨買賣超對股價報酬率之影響在不同的轉換變數下均呈現正相關且顯著之結果；而外資由於其整體部位過於龐大，在操作上著眼於資產的配置與風險的分散，因此，國人雖習慣參考外資在股市之進出情形，但其高度注重風險之控管，在操作上的態度及策略較不如自營商積極，因此，如僅以外資的期貨買賣超作參考，將可能產生誤判之情況；而投信則是受制於相關的法令規定及自身的基金型態影響，故在期貨的操作上最為保守，因此，對股價報酬率的影響最小。 By analyzing the daily open interest from major institutional investors(including FINI, Investment Trust Companies and Futures Proprietary Merchants and Securities Dealers) and the corresponding closing price of TAIEX(Taiwan Stock Exchange Capitalization Weighted Stock Index), this study probes into whether a net buy/sell position by major institutional investors in futures market has nonlinear impact on rate of return on stock price. In methodology, first we employ unit root test on the samples, and then utilize the Smooth Transition AutoRegression(STAR) model, Granger and Teräsvirta（1993）and Teräsvirta（1994）, to verify the nonlinear impacts between (1)net position by Investment Trust Companies in futures market for current period, (2)net position by FINI in future market for current period, and (3)net position by Dealers in future market for the last 3 periods and the rate of return on stock price, under different levels of transformation variables. According to our empirical research, the Dealers has the greatest influence on the rate of return on stock price, followed by FINI and Investment Trust Companies. A good explanation might be that dealers tend to be arbitrary in making investment decisions given the fact that their performances are basically measured by profit making. In our model, their net position in futures markets has positive and significant impact on the rate of return on stock price at all level of transformation variables. FINI, dragged by their vast holdings, however focus more on portfolio allotment and risk diversification. The policy of giving higher priority to controls of risks leads to a passive, compared to that of dealers’, strategy of investment. As a result, domestic investors used to follow the trading strategy of FINI may be misled by solely leveraging FINI’s position in futures market. As for Investment Trust Companies, they are relatively conservative in futures trading and hence have mere influence on rate of return on stock price, due to restrictions on regulations and fund types.
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