期貨未平倉量如何預測現貨報酬和波動度?

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方裕翔(Fang Yu Hsiang) 查詢紙本館藏

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財務金融學系

論文名稱

期貨未平倉量如何預測現貨報酬和波動度?
(How Does Futures Open Interest Predict Spot Return and Volatility?)

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摘要(中)

期貨未平倉量對現貨報酬具有影響力，機構投資人能夠正確地影響同期的現貨報酬，然而散戶卻是錯誤地影響當期現貨報酬;僅外資之為平倉量對現貨報酬具有預測力，同時，散戶之未平倉量亦是錯誤地預測現貨報酬。

摘要(英)

Futures open interest are found to have impact on contemporary spot return. Institutional investors correctly affect underlying asset return while individual investors wrongly affect underlying asset return. Open interest of foreign investors have predictability on underlying asset return compare to other investors.

關鍵字(中)

★ 期貨未平倉量
★ 報酬
★ 波動度
★ 投資人類別
★ 價格發現

關鍵字(英)

★ Futures Open Interest
★ Return
★ Volatility
★ Investor Type
★ Price Discovery

論文目次

中文摘要..................................... i
ABSTRACT................................... ii
致謝........................................ iii
Contents ..................................... iv
List of Figures .................................. v
List of Tables................................... vi
1 Introduction............................. 1
1.1 Motivation.............................. 1
2 Literature Review.......................... 4
2.1 Derivatives Volume, Open Interest and Returns . . . . . . . . . 4
2.2 Derivatives Volume, Open Interest and Volatilities . . . . . . . . 5
2.3 Types of Investors, Returns and Volatilities . . . . . . . . . . . . 6
3 Methodology............................. 8
3.1 Data................................. 8
3.2 Model ................................ 9
3.2.1 ARMA∼GARCH Model ..................... 9
3.2.2 Model by Bessembinder and Seguin (1993) . . . . . . . . . . . . 11
4 Empirical Results .......................... 14
4.1 Summary Statistics ......................... 14
4.2 Results of ARMA ∼GARCH Model................ 18
4.2.1 Unsigned change of trading variables . . . . . . . . . . . . . . . 18
4.2.2 Signed change of trading variables................. 21
4.2.3 Complete model control effects of different trade positions . . . 21
4.3 Results of Two-Stage Conditional Model . . . . . . . . . . . . . 27
4.3.1 Expected and unexpected components with different trade positions ................................. 27
4.3.2 Complete model control effects of different expected and unexpected positions........................... 32
5 Conclusion.............................. 36
References .................................... 37

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指導教授

葉錦徽(Yeh Jin Huei)

審核日期

2017-7-5

推文