本研究探討影響台灣個股期貨報酬波動度的三大因素：法人行為、國際市場訊號與市場結構特性。以臺灣期貨交易所2018年至2023年間之股票期貨為研究對象，透過日資料構建橫斷面時間序列追蹤資料，採用固定效果迴歸模型進行實證分析，進一步納入非線性項與交乘項以揭示可能之結構性放大效應與條件異質性。 實證結果顯示，法人部位與當沖行為具交互放大作用，國際市場波動對台灣市場具有顯著溢出效果，市場結構變數如融資變動與剩餘天數亦呈非線性影響，未平倉量具穩定或放大作用。 整體而言，期貨波動度非由單一因子所驅動，而是在特定條件交會下產生結構性共振，而本研究所建構之多構面分析架構，期協助市場參與者更精確辨識期貨市場波動的潛在風險來源，並針對槓桿控管、資金部位配置與交易策略設計等實務環節，提供具體的參考依據。 ;This study investigates three key determinants of return volatility in Taiwan’s single-stock futures: institutional behavior, international market signals, and structural characteristics of the futures market. Utilizing daily data from the Taiwan Futures Exchange between 2018 and 2023, we construct a panel dataset with firm-week observations and employ fixed effects regression models to conduct empirical analyses. The models incorporate nonlinear terms and interaction effects to capture potential structural amplification mechanisms and conditional heterogeneity. The empirical results reveal that institutional positions and day trading activities interact to magnify volatility. International market fluctuations, particularly from U.S. equity and gold futures, exhibit significant spillover effects on Taiwan’s futures market. Structural variables, such as changes in financing positions and days to maturity, show nonlinear impacts, while open interest demonstrates either a stabilizing or amplifying role depending on market conditions. Overall, futures return volatility is not driven by a single factor but emerges from structural resonance triggered by specific combinations of institutional behavior, market sentiment, and contract characteristics. The multi-dimensional analytical framework proposed in this study offers a more precise identification of volatility sources and provides practical implications for leverage control, capital allocation, and the design of trading strategies.
