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系統識別號 U0002-2706201023021700
中文論文名稱 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
英文論文名稱 Interactions between institutional investor behavior and market returns in the Taiwan Stock and futures markets
校院名稱 淡江大學
系所名稱(中) 管理科學研究所碩士班
系所名稱(英) Graduate Institute of Management Science
學年度 98
學期 2
出版年 99
研究生中文姓名 劉玉琳
研究生英文姓名 Yu-Lynn Liu
學號 697620226
學位類別 碩士
語文別 中文
口試日期 2010-06-09
論文頁數 125頁
口試委員 指導教授-莊忠柱
共同指導教授-王譯賢
委員-張淑華
委員-林忠機
委員-牛涵錚
中文關鍵字 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 
英文關鍵字 futures  institutional investor  investor behavior  vector autoregressive model  impulse response function 
學科別分類 學科別社會科學管理學
中文摘要 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。
英文摘要 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.
論文目次 目錄
頁次
目錄 I
表目錄 II
圖目錄 III
第一章 緒論
第一節 研究背景與動機 1
第二節 研究目的 7
第三節 研究流程 7
第二章 文獻探討
第一節 投資人交易行為的理論 9
第二節 投資人交易行為對報酬影響的理論 12
第三節 相關文獻 15
一、投資人交易行為之實證 15
二、機構投資人交易行為對市場報酬的影響性與互動關係之實證 22
三、公開資訊與市場報酬的關連性 29
四、期貨與現貨關聯性之探討 34
第四節 本章小結 38
第三章 資料與研究方法
第一節 資料來源 41
第二節 變數的衡量 41
第三節 實證方法 44
一、單根檢定 44
二、二項式檢定 50
三、Granger因果關係檢定 51
四、同期因果關係 53
五、向量自我迴歸模型 54
六、一般化衝擊反應函數 56
第四章 實證結果分析
第一節 敘述統計量分析 60
第二節 單根檢定 62
第三節 二項式檢定 63
第四節 Granger因果關係檢定 63
第五節 同期因果檢定 75
第六節 因果關係檢定結果綜合分析 82
第七節 向量自我迴歸模型 86
第八節 一般化衝擊反應函數 100
第五章 結論與建議
第一節 結論 115
第二節 建議 116
參考文獻 118


表目錄
頁次
表1-1 臺灣股市集中市場各類投資人成交金額統計表 2
表1-2 國內期貨交易概況明細 3
表1-3 臺灣股市集中市場法人交易概況表 4
表1-4 2004-2009年度各期貨契約商品年成交量統計 6
表4-1 變數敘述統計量 61
表4-2 各變數之單根檢定 62
表4-3 二項式檢定結果 63
表4-4 三大法人淨買入比總合與各變數的Granger因果關係檢定 64
表4-5 個別三大法人淨買入比與各變數的Granger因果關係檢定 68
表4-6 臺指與臺指期貨個別三大法人淨買入比的Granger因果關係檢定 71
表4-7 各變數間Granger因果關係檢定結果 73
表4-8 三大法人淨買入比總和與各變數同期因果檢定 76
表4-9 個別三大法人淨買入比與各變數同期因果檢定 77
表4-10 臺指與臺指期貨個別三大法人同期因果檢定結果 79
表4-11 各變數間同期因果檢定結果 80
表4-12 向量自我迴歸模型最適落後期數檢定(一) 87
表4-13 向量自我迴歸模型參數估計與檢定分析(一) 87
表4-14 向量自我迴歸模型最適落後期數檢定(二) 88
表4-15 向量自我迴歸模型參數估計與檢定分析(二) 89
表4-16 向量自我迴歸模型最適落後期數檢定(三) 90
表4-17 向量自我迴歸模型參數估計與檢定分析(三) 91
表4-18 向量自我迴歸模型最適落後期數檢定(四) 92
表4-19 向量自我迴歸模型參數估計與檢定分析(四) 93
表4-20 向量自我迴歸模型最適落後期數檢定(五) 95
表4-21 向量自我迴歸模型參數估計與檢定分析(五) 96
表4-22 向量自我迴歸模型最適落後期數檢定(六) 97
表4-23 向量自我迴歸模型參數估計與檢定分析(六) 98
表4-24 向量自我迴歸模型分析結果整理 99

圖目錄
頁次
圖1-1 研究流程 8
圖4-1 三大法人在單一市場的Granger因果關係示意圖 70
圖4-2 三大法人跨市場的Granger因果關係示意圖 72
圖4-3 三大法人跨市場的同期因果關係示意圖 79
圖4-4 三大法人淨買入比總和與各變數因果關係 83
圖4-5 個別三大法人與各變數因果關係 85
圖4-6 臺指報酬與臺指期貨報酬的一般化衝擊反應 101
圖4-7 臺指報酬與三大法人淨買入比的一般化衝擊反應 102
圖4-8 臺指期貨報酬與三大法人淨買入比的一般化衝擊反應 104
圖4-9 基差與三大法人淨買入比的一般化衝擊反應 106
圖4-10 三大法人對本身淨買入比的一般化衝擊反應 108
圖4-11 三大法人在單邊市場對其它法人淨買入比的一般化衝擊反應 110
圖4-12 三大法人對雙邊市場其它法人淨買入比的一般化衝擊反應 112


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