本研究主要為探討投資人積極度對臺股期貨價格的預測能力，根據Benos and Sagade (2016) 將臺灣期貨市場中的投資人，依據Carrion (2013) 分為流動性需求與流動性供給，計算投資人當日的積極度，並分為三個不同類別的積極度，Aggressive、Neutral、Passive類型投資人，探討不同積極度下之投資人對於期貨價格的預測能力。並且篩選出臺灣期貨市場之快速交易者，探討快速交易者對期貨價格的預測能力。
研究結果顯示，積極類型的投資人對價格為顯著負相關，推論為臺灣期貨市場積極類型的投資人多為雜訊交易者；不同於全市場投資人的迴歸結果，積極類型的快速交易者對價格無預測能力，研究推論可能因積極類型的快速交易者中有單純提供流動性之快速交易者，或為真正擁有資訊之資訊交易者，亦有雜訊交易者，導致積極類型的快速交易者對於價格無預測能力。
本研究進一步將投資人分別為外資(境外機構)、本土機構投資人、散戶，探討這三類投資人對期貨價格的預測能力。積極類型的散戶對價格為顯著負相關，推論因臺灣期貨市場中散戶參與比率高，積極類型的散戶可能為雜訊交易者。
快速交易者分類投資人迴歸結果中，中性及被動類型的外資快速交易者對價格有顯著正相關，代表中性及被動類型的外資快速交易者對價格有預測能力。

The purpose of this thesis is to investigate if investors’ aggressiveness can predict the futures price between market participants and fast traders. Based on Benoa and Sagde (2016), investors’ aggressiveness can be examined by observing their Demand and Supply toward Liquidity. To observe how different aggressiveness predict futures price, I have divided traders by their trading aggressiveness into three categories: Aggressive, Neutral and Passive. Furthermore, this study has divided market participants and fast traders into three categories: Foreign Institutions, Domestic Institutions and Retail, as well as discussed their abilities to predict the futures price.
The result of the study reveals that Aggressive market participants have the negative capacity toward predicting futures price.The reason might be that Aggressive market participants are often considered noise traders. However, it shows that Aggressive fast traders have no effect on prediction of futures price. The reason might be that fast traders are full of informed traders and noise traders.
The result of this study indicates that Neutral Foreign Institutions in the market and Neutral Foreign fast traders are able to predict futures price. Aggressive retails might be noise traders but Aggressive Retail fast traders might not.

目錄
第一章　緒論...1
第一節　研究動機與背景...1
第二節　研究目的...4
第三節　研究架構...5
第四節　研究流程...6
第二章　文獻探討...7
第一節　流動性...7
第二節　流動性需求與積極度...8
第三節　快速交易相關文獻...9
第三章　研究方法...11
第一節　樣本資料篩選...11
一、資料介紹與樣本時間...11
二、資料特色...14
三、樣本處理...15
第二節　理論與實證方法...27
一、變數介紹...27
二、迴歸模型設定...28
第四章　實證結果與分析...29
第一節　敘述統計...29
第二節　迴歸分析...33
一、不同積極度下全市場投資人對期貨價格的預測能力...33
二、不同積極度下快速交易者對期貨價格的預測能力...35
三、分類投資人對期貨價格的預測能力...36
第三節　穩健性檢定...39
第五章　結論與建議...41
參考文獻 ...43
附錄 ...45


表目錄
【表1-1】各類投資人期權市場交易量統計...3
【表3-1】2009年至2012年各項商品年成交量統計表(單位:口數)...12
【表3-2】臺灣證券交易所股價指數期貨契約價格...13
【表3-3】臺股期貨委託至成交所需時間統計表...16
【表3-4】兩種篩選條件優缺點說明...18
【表3-5】快速交易者篩選條件之敘述統計...20
【表3-6】流動性需求與供給區分表...21
【表3-7】全市場投資人之積極度統計表...23
【表3-8】全市場投資人之不同積極度占總交易量之敘述統計表...24
【表3-9】快速交易者積極度統計表...25
【表3-11】不同積極度之快速交易者佔總交易量之敘述統計表...26
【表4-1】全市場投資人敘述統計表...29
【表4-2】全市場投資人流動性需求不平衡變數敘述統計表...31
【表4-3】快速交易者之流動性需求不平衡變數敘述統計表...32
【表4-4】不同積極度下全市場投資人對期貨價格的預測能力...34
【表4-5】不同積極度下快速交易者對期貨價格的預測能力...35
【表4-6】不同積極度下全市場分類投資人對價格的預測能力...37
【表4-7】不同積極度下快速交易分類投資人對價格的預測能力...38
【表4-8】不同積極度下全市場交易者對價格的預測能力(穩健性檢定)...40
【表4-8】不同積極度下快速交易交易者對價格的預測能力(穩健性檢定)...40
【附表A-1】全市場分類投資人積極度統計表...45
【附表A-2】快速交易者分類投資人積極度統計表...46


圖目錄
【圖1-1】研究流程圖...6

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