摘要 本研究以台灣期貨交易所所公布三大法人(分別為外資、投信及自營商)於台指期、電子期及金融期三類期貨中，每日多空交易口數淨額及多空未平倉口數淨額為研究標的，探討不同類別交易人的擇時能力(market-timing ability)。研究期間為 2009年11月25日至2012年12月28日。 另根據交易者於不同類型的期貨，每日多空交易口數淨額取絕對值的方式，我們計算研究期間每日平均交易口數，做為大額交易口數的判斷基準，藉以觀察三大法人於大額交易上之擇時能力是否有優於平常之表現。研究結果顯示，三大法人中以外資的操作績效為最佳，無論是每日多空交易口數淨額或是多空未平倉口數淨額，全部皆為正報酬。投信在未平倉口數淨額的操作以及大額交易賣出的操作，績效最差，全部為負報酬。推論為外資在三種指數期貨的操作判斷擁有較佳的預測能力，相反的，投信在三種指數期貨的操作判斷則不具預測能力。 AbstractThis article examines the market timing ability of three major types of investors, including foreign institutional investors, domestic institutional investors and proprietary investors, in the Taiwan index futures markets over November 25, 2009 - December 28, 2012, using the daily long and short trading net positions and net open interest. We investigate traders’ market-timing ability, and also study how traders’ performance varies with trade size. The results show that the foreign institutional investors have the best performance for their daily long and short trading positions and net open interest, and their large transactions on sell side earn positive returns, On the other hand, domestic institutional investors have the worst performance, as, their net open interest and large transactions on sell side both, exhibit negative returns. Our results imply that foreign institutional investors have the superior forecasting ability in Taiwan futures markets. On the contrary, domestic institutional investors have inferior forecasting ability in Taiwan futures market.
