期貨投資人之星期效應與日內效應

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Title:	期貨投資人之星期效應與日內效應
Other Titles:	The day-of-the-week and intraday effect on futures investors
Authors:	林秉貞;Lin, Ping-Chen
Contributors:	淡江大學財務金融學系碩士班邱建良;Chiu, Chien-Liang
Keywords:	星期效應;日內效應;日內星期效應;機構投資人;個別投資人;Day-of-the-Week effect;Intraday Effect;Intraday Day-of-the-Week effect;Institutional investor;Indivdual Investor
Date:	2011
Issue Date:	2011-12-28 17:34:47 (UTC+8)
Abstract:	本研究探討期貨市場台指期貨與小台指期貨之星期、日內與日內星期效應與投資人之關係，將投資人區分為國內、外機構投資人與個別投資人，使用日內資料研究星期效應與不同交易人之關係，加以研究成交量與賣壓對於報酬之影響是否有日內、星期或日內星期效應出現。並且透過本研究瞭解星期效應之產生與不同投資人是否有具有關連性以及成交量與賣壓對於報酬之影響。本研究顯示報酬與成交量存在星期效應，但不同投資人成交量卻沒星期效應出現，不同投資人賣壓於台指期貨國內、外機構投資人與小台指期貨個別投資人存在星期效應，報酬與成交量皆有日內效應，成交量所有投資人間以及賣壓於台指期貨個別投資人與小台指期貨國內機構投資人與個別投資人存有日內效應。報酬、成交量與賣壓在部分區間內有存在日內星期效應。成交量與賣壓對於報酬影響之實證結果顯示成交量於星期一至星期三有顯著之影響，賣壓則於國內與國外機構投資人星期間存有顯著不同之影響。 The paper conduct the Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on Futures investors of TAIFEX Futures(TXF) and Mini-TAIFEX Futures(MTF) in Taiwan. The data divides into all investors, domestic institutional investors, foreign institution investors and individual investors. This paper conducts an analysis of trading volumes, return, and selling pressures of Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on different investors. Finally, this paper also examines the impact of trading volumes and selling pressures on the returns. The result shows that Day-of-the-Week effect exists in returns and trading volumes, but different investors’ trading volumes don’t exists Day-of-the-Week effect. The selling pressures exists Day-of-the-Week effect of domestic institutional investors and foreign institutional investors in TXF and individual investors in MTF. Intraday effect exists in return and trading volumes, and all of the different investors have intraday effect. Intraday-Day-of-the-Week effect exists in returns, trading volumes and selling pressures in some of the intervals. The impact of trading volumes on return shows that there have significant exist from Monday to Wednesday. Finally, the impact of selling pressures on returns shows domestic institutional investors and foreign institutional investors have significant different.
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