| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系在職專班 | zh_TW |
| DC.creator | 黃英杰 | zh_TW |
| DC.creator | HUANG,YING-CHIEH | en_US |
| dc.date.accessioned | 2016-8-30T07:39:07Z | |
| dc.date.available | 2016-8-30T07:39:07Z | |
| dc.date.issued | 2016 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=974308017 | |
| dc.contributor.department | 財務金融學系在職專班 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 本研究以台灣期貨交易所於2007年7月2日至2016日4月30日止公布的三大法人及其合計的期貨未平倉量資料建立交易策略，運用於台灣50(0050)、寶金融(0055)及高股息(0056)等三檔ETF進行交易，期間涵蓋2007年中旬後的金融海嘯，歷經涵蓋空頭多頭及盤整震盪的狀態。以實證結果來看，於使用外資期貨未平倉量策略交易三檔ETF均有高於投資該ETF的超額報酬，而使用投信與自營商的期貨未平倉量策略進行三檔ETF交易則都沒有超額報酬。進一步以迴歸分析其超額報酬來源，以外資期貨未平倉量策略交易三檔ETF，於每日交易ETF張數的變數，於統計上均有顯著。 | zh_TW |
| dc.description.abstract | The research comprises a trading strategy involving the data via Taiwan Future Exchange in the open interest of the three institutional investors and apply the strategy to trade on the three types of ETFs in Taiwan 50 (0050),Taiwan Banks (0056) and Taiwan High Dividend (0056), undertaken during the volatile period of financial crisis from July 2nd 2007 to Apr 30th 2016.The empirical evidence shows by applying the open interest of the foreign investors to trade on the three ETFs will generate a higher excess return than to trade on the ETF per se, whilst applying the open interest of investment trust and proprietary dealers to trade on the three ETFs does not generate any excess return. The next step is to use the regression model to conduct the return attribution analysis. Using the open interest of foreign investor to apply trade on the three ETFs shows a statistical significance in the daily trading volume of the ETFs. | en_US |
| DC.subject | 期貨未平倉量 | zh_TW |
| DC.subject | ETF | zh_TW |
| DC.subject | Open Interest | en_US |
| DC.subject | ETF | en_US |
| DC.title | 運用三大法人台股期貨未平倉資料於台灣ETF交易 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |