期貨市場顯隱性介入下之投資績效分析

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 學位論文 > Item 987654321/51919

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题名:	期貨市場顯隱性介入下之投資績效分析
其它题名:	The investment performance analysis for futures markets under dominant intervention and recessive intervention
作者:	陳育欣;Chen, Yu-hsin
贡献者:	淡江大學管理科學研究所企業經營碩士在職專班倪衍森;Ni, Yen-sen
关键词:	臺指期貨;日內交易;交易策略;TAIEX Futures;Intraday Trading;Trading Strategies
日期:	2010
上传时间:	2010-09-23 16:16:04 (UTC+8)
摘要:	本研究以證期會提供之2006，2007年之臺灣指數期貨的日內交易資料為研究標的，並分析驗證可能具有市場影響力的交易者如國內外法人投資機構之顯性與隱性的交易策略的投資績效分析。本研究透過觀察1分鐘到3分鐘內市場價格變化幅度，來界定有能力影響交易者介入交易的現象，定義3種顯性介入現象及2種隱性介入現象，並分別採用3種平倉策略，藉以量化評估觀察結果。另外，並設置1組不區分顯隱性介入現象的假設作為本研究的對照組，以確認本研究實證結果的信賴度。實證結果發現，在本研究所作的36種假設中，部份顯性介入與隱性介入的現象發生之後，跟隨其趨勢操作有顯著的獲利現象，而所採用的對照組則呈現幾近零合的結果。分析結果發現在不同的狀況下介入的結果有顯著的差異，顯性與隱性的介入的現象代表著不同的意義，上漲或下跌的狀況對後續漲跌幅度有相當的影響。因此，在不同狀況下所應採行的介入交易策略或平倉策略亦應有所不同；並非在任何顯隱性現象產生時，都可以盲目跟隨介入交易，策略的應用需要謹慎的觀察與判斷，才有較大的機會在期貨市場上獲取超額利潤。 This study uses the 2006-2007 intraday data of TAIEX futures to analyze the investment performance by influential traders such as domestic or foreign financial institution by dominant intervention and recessive intervention investment strategies. This study defines several dominant interventions and recessive interventions by observing variation of TAIEX futures prices within 3 minutes, establishes 3 dominant intervention strategies and 2 recessive intervention strategies, and set 3 kinds of closing open interest strategies before closing time of futures markets per day. In addition, one unwinding strategy is set to observe if there exists contrast phenomenon with other strategies in order to make sure the reliable empirical results of this study. By testing 36 hypotheses proposed by this research, we find while adopting some certain dominant intervention or recessive intervention with following trend, it is possible to make profits by employing these strategies. Besides, the above intervention are outperform than unwinding strategies, since nearly zero sum game are shown by adopting unwinding strategies. The empirical results find different interventions in different conditions show different results. The meanings between dominant intervention and recessive intervention are also different, and the upside trend and downside trend of futures markets will affects the later performance of dominant intervention or recessive intervention. Thus, we should take different intervention strategies trading and different closing open interest strategies under different situations. In other words, investors should not trade blindly while the signals of dominant intervention or recessive intervention are shown. It means traders should make sure what kind of intervention carefully in order to lift up the opportunities of making profits in futures markets.
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