政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49068
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109952/140887 (78%)
造访人次 : 46312860      在线人数 : 791
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49068


    题名: 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
    作者: 張春芬
    Chanh, Chun Fen
    贡献者: 朱浩民
    張春芬
    Chanh, Chun Fen
    关键词: 三大法人
    期貨與選擇權
    未平倉部位
    Major Institutional Investors
    Futures and Option
    Open Interest
    日期: 2010
    上传时间: 2010-12-08 01:58:11 (UTC+8)
    摘要: 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
    參考文獻: 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
    1. Bailey, W. (1989), “The Market for Japanese Stock Index Futures: Some Preliminary Evidence,” Journal of Futures Markets, 9(4) , pp. 283-295.
    2. Barber, B. and T. Odean (2000), “Trading in Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investment,” Journal of Finance, 55, pp. 773-806.
    3. ______________________ and Zheng Zu (2000) “The Behavior of Mutual Fund Investors,” U.C. Berkeley unpublished paper, 2, pp. 28-29.
    4. Bhatt, S. and N. Cakici (1990), “Premium on Stock index Futures: Some Evidence, ” Journal of Futures Market, pp. 367-375.
    5. Brennan, M.J. and H.H. Cao (1997), “International Portfolio Investment Flows,” The Journal of Finance, 52, pp. 1851-1879.
    6. Cornell, B. and K. R. French (1983). “The Pricing of Stock Index Futures,” Journal of Futures Markets, 3(1), pp. 1-14.
    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.
    11. De Bondt, W. and R. Thaler (1995), “Does the Stock Market Overreact?” Journal of Finance, 40, pp. 793-805.
    12. Einhorn, H. and R.M. Hogarth (1978), ”Confidence in Judgment: Persistence of Illusion of Validity,” Psychological Review, 85(5), pp. 395-416.
    13. Eytan, T. and G. Harpaz (1986), “ The Pricing of Futures and Option Contracts on the Value Line Index,” Journal of Finance, 41(4), pp. 843-857.
    14. Figlewski, S.(1984), "Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium," Financial Analysts Journal, July-August, pp. 43-47.
    15. Fischhoff, B. P. Slovic and S. Lichtenstein (1978), “How Safe Is Safe Enough? A Psychometric Study of Attitudes Towards Technological Risks and Benefits,” Policy Sciences, 9, pp. 127-152.
    16. Hemler, M. and F. Longstaff (1991), "General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, 26(3) , pp. 287-308.
    17. Hiemstra, C. and J. D. Jones (1994), “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, 49, pp. 1639-1664.
    18. Hsu, Hsinan and Janchung Wang (1998), “The Pricing Model of Stock Index Futures in Imperfect Markets and Analysis of Price Expection,” The Journal of National Cheng Kung University, 33, pp. 355-381.
    19. ______________________________ (2004), “Price Expectation and the Pricing of Stock Index Futures,” Review of Quantitative Finance and Accounting, 23(2), pp. 167-184.
    20. Kahneman, D. and A. Tverskey (1979), “Prospect Theory: An Analysis of Decision under Risk,” Econometrica, 47, pp. 263-291.
    21. _____________ and M. W. Riepe (1998), ”Aspects of Investor Psychology,” Journal of Portfolio Management, 24, pp. 52-65.
    22. Klemkosky, Robert C. and Jae Ha Lee (1991), “The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage,” The Journal of Futures Markets, 11 , pp. 291-311.
    23. Lichtenstein, S., B. Fischhoff and S. Phillips (1982), “Calibration of Probability：The State of the Art to 1980, In Kahneman, D. and A. Tversky(eds.),” Judgment under Uncertainty：Heuristics and Bias, 306-334, Cambridge University Press.
    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.
    27. Ramaswamy, K. and S. M. Sundaresan (1985), “The Valuation of Options on Futures Contracts,” The Journal of Finance, 40, 1319-1340.
    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.
    29. Shefrin, H. (2000), “Beyond Greed and Fear,” Boston, MA: Harvard Business School Press.
    30. __________ and Meir Statman (1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,” The Journal of Finance, 40, pp.777-791.
    31. __________________________(1994), “Behavioural Capital Asset Pricing Theory,” Journal of Financial and Quantitative Analysis, 29(3), pp. 323-349.
    32. Statman, Meir. (1999), “Behaviorial Finance: Past Battles and Future Engagements,” Financial Analysts Journal, November/December, pp.18-27.
    33. Stoll, H. R., and R. E. Whaley (1990), "The Dynamics of Stock Index and Stock Index Futures Retures," Journal of Financial and Quantitative Analysis, 25(4) , pp.441-468.
    34. Tversky, Amos and Daniel Kahneman (1973), “Availability: A Heuristic for Judging Frequency and Probability,“ Cognitive Psychology, 5, pp.207-232.
    35. ________________ and Dale Griffin (1992), “The Weighing of Evidence and the Determinants of Confidences,“ Cognitive Psycholog, 24, pp.411-435.
    36. Wermers, R. (1999), “Mutual Fund Herding and Impact on Stock Prices,” Journal of finance, 54(2), pp.581-621.
    描述: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    96932211
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096932211
    数据类型: thesis
    显示于类别:[經營管理碩士學程EMBA] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2705检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈