三大法人資訊對於大盤指數的解釋力及期貨市場的報酬率 -以台灣加權指數為例

Abstract

由於每天盤後台灣期貨交易所都會公布三大法人公開資訊，並不是每個交易所都有公布這些資訊，本研究想探討這些公開資訊是否對大盤指數有解釋力以及對期貨市場的報酬率有所影響。本研究利用巨集語言（Visual Basic for Applications，VBA）分析各種交易策略以不同的指標作為買賣訊號的情況。實證結果顯示三大法人都對期貨市場有相當大的解釋力，其中外資更是最明顯。也證實有效率的使用公開資訊可以明顯的提升交易結果，其中未平倉多空淨額口數、連續突破更是能否提升交易策略相當重要的指標。整體而言，三大法人公開資訊對於台灣期貨市場是有解釋力，利用三大法人公開資訊的確可以提升交易品質改善原有的交易策略。

While the Taiwan Futures Exchange announces the trading data of the Three Major Institutional Traders every day, not every exchange publishes the above information.Consequently, this research aims at investigating whether the trading data of the Three Major Institutional Traders has explanatory power over Taiex (Taiwan Stock Exchange) and whether it has considerable impact on the returns of futures market. In this research, VBA (Visual Basic for Applications) is applied to analyzing the situation where various trading strategies use different indicators as trading signals. The result suggests that the trading data of the Three Major Institutional Traders indeed has substantial explanatory power, especially the Foreign Investment being the most outstanding. The result also shows that it can improve trading outcome by applying the Data of the Three Major Institutional Traders efficiently, among which net positions on open interest and continuous breakthrough are extremely crucial indicators for enhancing trading strategies. All in all, the Data of the Three Major Institutional Traders has considerable explanatory power and by using it we are able to ameliorate old trading strategies.