盤前資訊與加權指數報酬影響之探討-依台指期為例

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题名:	盤前資訊與加權指數報酬影響之探討-依台指期為例
作者:	李逸庭;Lee, Yi-Ting
贡献者:	財務金融學系在職專班
关键词:	加權指數報酬率;台指期貨成交量;未平倉量;台股夜盤報酬率;TAIEX Rate of Return;Trading Volume;OI;FITXP Rate of Return
日期:	2023-07-18
上传时间:	2023-10-04 15:20:38 (UTC+8)
出版者:	國立中央大學
摘要:	本研究主要在探討驗證不同的開盤前資訊是否對加權指數報酬有預測力對投資或政策監管的啟發。我們利用最小平方法迴歸模型並結合 Newey-West 校正殘差異質變異與相關性後進行模型估計推論；所考慮的盤前資訊有台指期未平倉口數變動率、台指期未平倉比率、台指期提早開盤時段報酬、台指期夜盤報酬率、台指期隔夜報酬率等。由於台指期夜盤報酬在 2017 年 5 月 16 日才開放交易的制度性原因，我們將樣本分為兩部分來進行分析，第一部份全樣本涵蓋 2002 年至 2022 年之間，共 5189 筆日資料 ; 第二部份為納入夜盤報酬資訊的 2017-2022年共 1385筆資料。聯合檢定迴歸，第一部份小台指期 8:45~9:00之報酬對加權指數報酬有顯著影響 ; 第二部份實證發現夜盤報酬率與台股期貨未平倉口數變動率對加權指數報酬有顯著影響，且未平倉口數變動率與加權指數報酬率為反向關係。;This paper is to investigate whether different pre-market information for the returns of the TAIEX, and to derive insights for investment or policy regulation. We utilize the OLS regression model and incorporate Newey-West corrected residuals for heteroscedasticity and correlation in the model estimation and inference. The pre-market information considered includes the change rate of OI in Taiwan Stock Index Futures (TXF), the OI(open interest) ratio of TXF, the early session returns of TXF, the overnight returns of TXF, and the intraday returns of TXF. Due to the institutional reason that the trading of TXF in the overnight session was introduced only on May 16, 2017, we divide the sample into two parts for analysis. The first part covers the entire sample period from 2002 to 2022, with a total of 5,189 daily observations. The second part consists of 1,385 observations from 2017 to 2022, incorporating the overnight returns information. In the joint regression tests. In the first part, the returns of the MTXF from 8:45 to 9:00 AM significantly affect the returns of the TAIEX. In the second part, we empirically find that the overnight returns and the change rate of OI in TXF significantly affect the returns of the TAIEX and the change rate of OI is inversely related to the returns of the TAIEX.
显示于类别:	[財務金融學系碩士在職專班] 博碩士論文

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