标题: 三大法人资讯对于大盘指数的解释力及期货市场的报酬率 -以台湾加权指数为例
The Returns and the Explanatory Power of the Data of the Three Major Institutional Traders on the Future Markets in Taiwan
作者: 庄家睿
陈安斌
梁婉丽
Chuang,Jia-Rey
Chen,An-Pin
Liang,Woan-Lih
财务金融研究所
关键字: 台湾指数期货(TX);三大法人;公开资讯;VBA;解释力;未平仓多空净额;连续突破;Taiwan Futures Exchange (TFE);Data of the Three Major Institutional Traders;Visual Basic for Applications;Explanatory power;Open interest;Continuous breakthrough
公开日期: 2017
摘要: 由于每天盘后台湾期货交易所都会公布三大法人公开资讯,并不是每个交易所都有公布这些资讯,本研究想探讨这些公开资讯是否对大盘指数有解释力以及对期货市场的报酬率有所影响。本研究利用巨集语言(Visual Basic for Applications,VBA)分析各种交易策略以不同的指标作为买卖讯号的情况。实证结果显示三大法人都对期货市场有相当大的解释力,其中外资更是最明显。也证实有效率的使用公开资讯可以明显的提升交易结果,其中未平仓多空净额口数、连续突破更是能否提升交易策略相当重要的指标。整体而言,三大法人公开资讯对于台湾期货市场是有解释力,利用三大法人公开资讯的确可以提升交易品质改善原有的交易策略。
While the Taiwan Futures Exchange announces the trading data of the Three Major Institutional Traders every day, not every exchange publishes the above information.Consequently, this research aims at investigating whether the trading data of the Three Major Institutional Traders has explanatory power over Taiex (Taiwan Stock Exchange) and whether it has considerable impact on the returns of futures market. In this research, VBA (Visual Basic for Applications) is applied to analyzing the situation where various trading strategies use different indicators as trading signals. The result suggests that the trading data of the Three Major Institutional Traders indeed has substantial explanatory power, especially the Foreign Investment being the most outstanding. The result also shows that it can improve trading outcome by applying the Data of the Three Major Institutional Traders efficiently, among which net positions on open interest and continuous breakthrough are extremely crucial indicators for enhancing trading strategies. All in all, the Data of the Three Major Institutional Traders has considerable explanatory power and by using it we are able to ameliorate old trading strategies.
URI: http://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070353959
http://hdl.handle.net/11536/140567
显示于类别:Thesis