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    Title: 臺灣期貨市場與現貨市場間的機構投資人投資行為與市場報酬間關連性
    Other Titles: Interactions between institutional investor behavior and market returns in the Taiwan stock and futures markets
    台灣期貨市場與現貨市場間的機構投資人投資行為與市場報酬間關連性
    Authors: 劉玉琳;Liu, Yu-lynn
    Contributors: 淡江大學管理科學研究所碩士班
    莊忠柱;Chuang, Chung-chu
    Keywords: 期貨;機構投資人;投資行為;向量自我迴歸模型;衝擊反應函數;Futures;Institutional investor;investor behavior;vector autoregressive model;Impulse Response Function
    Date: 2010
    Issue Date: 2010-09-23 16:17:03 (UTC+8)
    Abstract: 本研究以2007年7月2日到2010年3月31日臺指及臺指期貨收盤價、三大法人買賣量、未平倉量等資料,利用二項式檢定、Granger和同期因果關係檢定、向量自我迴歸模型、一般化衝擊反應分析等方法,探討機構投資人對市場報酬的影響及交易行為,並延伸探討機構投資人間的跨市場影響。
    研究發現,現貨價格領先期貨價格,彼此存有短期正向關係。在股市與期市,皆是自營商領先投信而投信領先外資,外資雖為追隨者,但因外資投資比重高,對股價仍較本國法人有影響力,且對散戶而言為領先指標。股市外資與自營商為負向回饋交易者,投信則無顯著的結果;期市投信為正向回饋交易者,外資為負向回饋交易者,自營商則無顯著的結果,此結果也顯示外資是較理性的投資人,能穩定市場的發展。自營商及外資皆重視短期績效,炒短線套利,不易受市場報酬的影響,以操作現貨為主,不以期貨為避險目的;投信較容易受市場報酬的影響,較積極操作期貨,且有明顯從眾行為,但在兩市場的從眾程度不同。股市外資與投信的交易行為呈正相關且較密切,自營商則採取與投信反向的交易策略;期市外資與自營商及投信的交易行為皆為負相關,投信與自營商間為正相關。期市外資交易的變動對股市投信為正向影響,而對股市自營商為負向影響,此與Song et al.(2009)的結論大不相同。就臺灣股市與期市而言,雖然外資在基差增加時會買期賣現,但自營商行為較理智,外資在期市的行為只會正向影響股市投信採取反向套利策略,對臺灣股市與期市仍構不上威脅。
    This paper is to investigate the behavioral relationships and cross-market interactons of institutional investors in Taiwan stock and futures markets based on vector autoregressive model (VAR) and generalized impulse response function. The data consist of the Taiwan stock index prices, Taiwan stock index futures prices, and the trading volumes of institutional investors from July, 2007 to March, 2010. This paper employs to investigate the cross market relationships of institutional investors among the stock and futures market. The empirical results indicate that foreign investors and dealer are negative feedback traders in stock market. In futures market, investment trust are positive feedback traders and foreign investors are negative feedback traders. When the stock prices and the basis grows, foreign investors tend to buy futures and sell stocks; The selling action of foreign investors in futures market only induces domestic investment trust to engage in the reverse cash-and-carry trade. This results is not consistent with conclusions of Song(2009). When basis increases, foreign investors will significantly buy futures contracts and sell stocks simultaneously. Meanwhile, the behavior of foreign investors affect the domestic investment trust to adopt a reverse arbitrage strategy, but it is not significant.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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