本文係研究三大法人在期貨與選擇權市場的未平倉資料進行分析，期貨部位以未平倉多空淨口數進行分析，而選擇權由於分為價平、價內以及價外，因此使用未平倉多空淨契約金額進行分析，探討三大法人在期貨與選擇權市場的佈局對股價指數報酬是否存在非線性之影響，以期能作為投資策略的參考依據。
　　本文以期貨交易量作為門檻變數，探討三大法人在不同期貨交易量能大小下，期貨與選擇權的未平倉部位對股價指數報酬之影響，實證結果發現，當期貨交易量小於門檻值時，三大法人的期貨未平倉多空淨口數與股價指數報酬為正向關係，但是當期貨交易量大於門檻值時，則無法解釋三大法人對股價指數報酬之影響；然而當期貨交易量小於門檻值時，外資的未平倉多空淨金額與股價指數報酬為正向關係，自營商與投信均無法解釋對股價指數報酬之影響，當期貨交易量大於門檻值時，自營商的未平倉多空淨金額與股價指數報酬為正向關係，外資與投信無法解釋對股價指數報酬之影響。

The main idea of this thesis is to analyze major institution investors’ open interest in Taiwan futures and option market. We use net open interests as analysis tool for futures and net amount of contracts as analysis tools for option. We examined whether the positions of institution investors in futures and option markets will have nonlinear impacts on stocks index returns in order to provide references for succeeding studies. We used futures trading volumes as a threshold variable to describe how futures and option open interests of institution investors affected the stocks index returns. The empirical results pointed out the positive relations between futures net open interests and stocks index returns as the volumes below threshold value. However, we couldn’t make it clear as the volumes above it. In option market, when the volumes is below threshold value, foreign investors’ net amount of open interest has positive effect on stocks index returns; when the volumes is above threshold value, Dealer’s open interest has positive impact on stocks index returns.

謝辭	I
中文摘要	II
英文摘要	III
目錄	IV
表目錄	VI
圖目錄	VII
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	5
第三節	研究架構	6
第四節	研究流程	7
第二章	文獻回顧	8
第一節	機構投資人對報酬的影響	8
第二節	交易量對報酬、波動率的影響	11
第三節	未平倉量對報酬、波動率的影響	13
第三章	研究方法	15
第一節	研究資料	15
第二節	單根檢定法	16
第三節	平滑移轉迴歸模型	20
第四章	實證研究結果	27
第一節	資料來源	27
第二節	敘述統計量	30
第三節	單根檢定結果	37
第四節	線性檢定	40
第五節	轉換函數之檢定	43
第六節	模型估計與檢定	45
第五章	結論與建議	50
第一節	研究結論	50
第二節	建議	52
參考文獻		53

 
表目錄
表1-1-1 各交易人年度交易百分比	2
表1-1-2 台指期貨與選擇權年度成交量	3
表4-2-1 樣本敘述統計量	31
表4-3-1 各變數ADF單根檢定、PP單根檢定、NP單根檢定結果	38
表4-3-2 各變數KPSS單根檢定結果	39
表4-4-1 期貨三大法人迴歸式線性檢定	41
表4-4-2 選擇權三大法人迴歸式線性檢定	42
表4-4-4 轉換函數檢定	44
表4-6-1 期貨三大法人未平倉量對股價指數報酬之參數估計	47
表4-6-2 期貨交易量為門檻值時，各解釋變數對股價指數報酬的影響	47
表4-6-3 選擇權三大法人未平倉量對股價指數報酬之參數估計	49
表4-6-4 期貨交易量為門檻值時，各解釋變數對股價指數報酬的影響	49

 
圖目錄
圖1-4-1 研究流程圖	7
圖3-3-1 羅吉斯型函數圖形	24
圖3-3-2 指數型函數圖形	25
圖4-2-1 股價指數報酬率資料型態	33
圖4-2-2 期貨交易量資料型態	33
圖4-2-3 外資期貨未平倉多空淨口數	34
圖4-2-4 自營商期貨未平倉多空淨口數	34
圖4-2-5 投信期貨未平倉多空淨口數	35
圖4-2-6 外資選擇權未平倉多空淨契約金額	35
圖4-2-7 自營商選擇權未平倉多空淨契約金額	36
圖4-2-8 投信選擇權未平倉多空淨契約金額	36

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