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姓名	陳乃維(Nai-Wei Chen)  查詢紙本館藏	畢業系所	財務金融學系在職專班
論文名稱	小型臺指期貨成交量對臺灣加權股價指數波動是否具有預測能力?
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摘要(中)	股價指數期貨一向被看作金融市場未來走勢之預測，當指數期貨交易量增加時有可能係投資人對於預測未來市場看法歧異，因此此本文主要探討臺灣證券交易所股價指數小型期貨契約(小型臺指期貨)成交量變動對次日臺灣證券交易所發行量加權股價指數(臺灣加權股價指數)之波動是否具有預測能力。實證發現在2021年至2022年間小型臺指期貨成交量變化對次日臺灣加權股價指數波動呈現顯著正相關，然而利用選擇權買進勒式部位交易策略獲利則呈現非線性關係。
摘要(英)	Index futures have always been regarded as a predictor of the future trend of the financial market. When the trading volume of index futures increases, it may be that investors have different opinions on predicting the future market. Under this background, this article mainly discusses the MTX has the ability to predict the rate of change of the next issue of the Taiwan Stock Exchange′s issuance-weighted stock price index (Taiwan-weighted stock price index). The empirical findings show that from 2021 to 2022, the change in trading volume of MTX has a significant positive correlation with the rate of change of the next Taiwan weighted stock price index. Under this finding, the profit of the trading strategy of using options to buy Long Strangle shows a non-linear relationship.
關鍵字(中)	★ 成交量 ★ 波動 ★ 勒式部位 ★ 選擇權	關鍵字(英)	★ trading volume ★ rate of change ★ Long Strangle ★ options
論文目次	中文摘要 i ABSTRACT ii 目錄 iii 表目錄 iv 圖目錄 v 第一章 緒論 1 1-1研究動機 1 1-2研究目的 2 第二章 文獻回顧 4 2-1市場效率假說 4 2-2機構投資人與資訊投資人 4 2-3價格發現 5 第三章 資料與研究方法 7 3-1研究資料樣本、來源及資料時間 7 3-2假說建立 8 3-3交易策略 11 第四章 實證分析 12 4-1敘述統計量 12 4-2相關係數 12 4-3分組數據 15 4-4迴歸分析 15 4-5交易策略 18 第五章 結論與建議 20 參考文獻 21
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指導教授	周賓凰(Ping-Huang Chou)	審核日期	2023-7-4
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