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    Title: 三大法人期貨與選擇權未平倉部位分析
    Analysis of major institutional investors’ open position of taiex futures & options
    Authors: 張春芬
    Chanh, Chun Fen
    Contributors: 朱浩民
    張春芬
    Chanh, Chun Fen
    Keywords: 三大法人
    期貨與選擇權
    未平倉部位
    Major Institutional Investors
    Futures and Option
    Open Interest
    Date: 2010
    Issue Date: 2010-12-08 01:58:11 (UTC+8)
    Abstract: 臺灣期貨市場中,三大法人的舉動及其持有部位的多寡往往是市場上投資人關注的對象,在未來市場走勢仍然混沌不明的情況下,投資人實在需要個利器來判別盤勢。本研究希望透過臺灣期貨交易所目前提供三大法人及大額交易人的交易資訊與未平倉資訊等籌碼面因素,來分析機構投資人及大額交易人之多、空買賣力道,希冀由此能預測臺股期貨指數漲跌趨勢。

    本文發現:1.以期貨及選擇權的資料或單獨以期貨作為臺股期貨指數漲跌之訊號,均是自營商解釋能力較佳;2.單獨以選擇權為訊號,外資及自營商未平倉之契約金額皆有不錯之解釋能力;3.當外資選擇權未平倉部位契約金額淨額由正轉成連續負值時,臺指期貨就會出現一波空頭走勢;4.在時機的掌握上外資的選擇權操作比三大法人合計臺指期未平倉部位契約金額淨額更加精確;5.指數連續下跌的情況下,外資的選擇權部位便會持續的增加,直到指數開始反彈或回檔時,才會回補空單部位,反之亦然。
    中文摘要………………………………………………………………i
    表次……………………………………………………………………iv
    圖次……………………………………………………………………v
    第一章 緒論
    第一節 研究背景與動機………………………………………1
    第二節 研究目的………………………………………………2
    第三節 論文架構………………………………………………2
    第二章 臺灣期貨交易所簡介與期貨市場發展概況
    第一節 臺灣期貨交易所簡介…………………………………4
    第二節 臺灣期貨市場發展概況 ……………………………14
    第三節 臺股期貨介紹 ………………………………………17
    第四節 臺指選擇權介紹 ……………………………………22
    第三章 文獻探討
    第一節 期貨定價模式 ………………………………………33
    第二節 Black-Scholes 選擇權定價模式 …………………43
    第三節 效率市場假說與行為財務學 ………………………46
    第四章 交易資訊揭露
    第一節 三大法人 ……………………………………………53
    第二節 大額交易人未沖銷部位結構 ………………………58
    第三節 選擇權揭露方式說明 ………………………………62
    第五章 期貨與選擇權部位研究分析
    第一節 目的與動機………………………………………… 63
    第二節 資料說明…………………………………………… 63
    第三節 分析方法…………………………………………… 64
    第六章 實證分析
    第一節 資料剖析…………………………………………… 71
    第二節 研究步驟…………………………………………… 72
    第三節 實證分析…………………………………………… 72
    第七章 結論與建議
    第一節 結論…………………………………………………78
    第二節 建議…………………………………………………80
    參考文獻……………………………………………………………81
    Reference: 一、中文文獻
    1. 李國彰(2009) ,期貨未平倉量與波動率對價格變動的影響-門檻值模型之應用,銘傳大學經濟研究所碩士論文。
    2. 林昭賢、許溪南 (2004) ,「期貨交易者之交易行為及績效之研究」,臺灣管理學刊,第4卷第1期,107-122頁。
    3. 林啟明(1998) ,「臺股期貨與股票現貨交易」, 臺灣綜合研究院金融與投資月刊 ,第九期,23-33頁。
    4. 許溪南、王健聰 (2002) ,「市場不完美度與股價指數期貨定價關係的一些理論假說與實證」,經濟研究, 第38卷,第2期,133-163頁。
    5. 黃玉桃 (1996) ,股價指數期貨評價及稅賦影響研究, 國立臺灣工業技術學院管理技術研究所論文。
    6. 葉月女(2003) ,我國證券市場三大機構投資人與一般投資人對股市波動性影響之探討,淡江大學財務金融學系碩士在職專班碩士論文。
    7. 鄭旻綺(2001) ,臺灣股市機構投資人與一般投資人投資互動關係之研究,實踐大學企業管理研究所碩士論文。
    二、英文文獻
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    7. Covrig, V., S. T. Lau, and L. Ng (2006), “Do Domestic and Foreign Fund Managers Have Similar Preferences for Stock Characteristics? A Cross-country Analysis,” Journal of International Business Studies, 37, pp. 407–429.
    8. Daniel, K., H. David and A. Subrahmanyam (1998), “Investor Psychology and Security under and Overreactions,” Journal of Finance, 53, pp. 1839-1886.
    9. ___________ and S. Titman (1998), “Characteristics vs. Covariances,” Journal of Portfolio Management, Summer, pp. 24-23.
    10. _________________________ (2000), “Market Efficiency Is an Irrational World,” Financial Analysts Journal, 55, pp. 28-40.
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    24. Modest, D. and M. Sundaresan (1983), "The Relationship between Spot and Futures Prices in Stock Index Futures Market: Some Preliminary Evidence," Journal of Futures Markets, 3(1), pp.15-41.
    25. Odean, T. (1998), “Are Investors Reluctant to Realize Their Losses,” Journal of Finance, 53, pp.1775-1798.
    26. Pennington, N. and R. Hastie (1988), “Explanation-based Decision Making: Effects of Memory Structure on Judgment,” Journal of Experimental Psychology, 14, pp.521-533.
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    28. Saunders, E. M. and J. A. Mahaian (1988), “An Empirical Examination of Composite Stock Index Futures Pricing,” Journal of Futures Markets, 8(2), pp.211-228.
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    36. Wermers, R. (1999), “Mutual Fund Herding and Impact on Stock Prices,” Journal of finance, 54(2), pp.581-621.
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    96932211
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096932211
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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