台灣加權股價指數月平均之預測-於小型台指期貨之應用

Abstract

期貨市場有著高槓桿，高報酬的特性，總是吸引著大量投資人進場，然而 在這個市場中，有著絕對影響力的總是三大法人而非一般投資者，本研究 藉由道瓊工業指數、NASDAQ 指數、M1A、M1B、M2 貨幣計總數年增 率、黃金價格、美元匯率、景氣對策信號、國際原油價格等因素進行相關 分析與迴歸分析後建立預測台灣加權股價指數月平均的模型，分析預測結 果後定義兩種交易策略，以這兩種交易策略實際操作小型台指期貨。 結果顯示，不論是哪種交易策略皆有大幅的獲利表現，其獲利表現也皆優 同時期於台灣市場上指數型基金產品的表現。

Futures market has high leverage and over-performing returns characteristics and always attract lots of investors. However, three major institutional traders are more influential than individual investors are. In this study, the monthly TAIEX(Taiwan Stock exchange) predicting model was build after correlation and regression analysis by using Dow Jones industrial index, NASDAQ, M1A, M1B, M2 annual growth rate, US exchange rate, monitoring indicator and global oil prices. After analyzing predicting result, we define two trading strategies and apply them in trading MTX(mini index futures). The experiment result shows that two trading strategies have big returns; moreover, their returns are higher than exchange-traded funds in Taiwan market.