股價指數期貨、股價指數選擇權與ETF對台股成交量之影響

Abstract

台灣個股成交量自2009以來逐年遞減，而期貨、選擇權和ETF的交易量卻呈現成長趨勢，本研究主要探討台股成交量近年來下跌的變化是否因為交易量轉移到其他市場的替代效果。先前的文獻在期貨與選擇權上市前後對現貨市場的影響上，多是著重在對標的資產波動度的影響，對成交量的探討較為稀少。研究方法採用一般線性迴歸模式分析，透過普通最小平方法，將台指期貨、台指選擇權、ETF之成交量因素納入，對自變數台灣股票成交量作廻歸，建立多元迴歸模型，觀測台股成交量變化，並分析它們之間的相關性及趨勢起伏，實證結果如下： 1. 個別來看，台指期貨、台指選擇權、ETF市場之成交量對台股成交量有一致性的替代影響效果。 2. 台指期貨、台指選擇權、ETF市場同時存在時，選擇權及ETF仍舊和台股有替代關係存在，但是台指期貨成交量對台股成交量的檢定結果為顯著正相關，亦即和台股有互補關係。

Taiwan's stocks have been declining since 2009, while futures, options and ETFs have been on a growing trend. This study focuses on whether the decline in Taiwan's stock trading in recent years is due to the shift in trading volume of other markets. The previous literatures on futures and options before and after the listing of the impact on the spot market, mostly focused on the impact of the volatility of the underlying assets, the volume of the study is scarce. In this paper, the general linear regression model is used to analyze the turnover factors of Taiwan index futures, Taiwan index options and ETF, and the multivariate regression model is established for the independent variable trading volume. Trading volume changes, and analyze the correlation between them and the ups and downs, the empirical results are as follows: 1. Individual point of view, Taiwan index futures, Taiwan index options, ETF market turnover of Taiwan stocks have a consistent effect on the replacement effect. 2. When the Taiwan index futures, Taiwan index options, ETF market exists at the same time, the option and the ETF still have a substitute relationship with the Taiwan stock. However, the trading volume of the index futures is significantly positively correlated with the trading volume of the Taiwan Stocks. That is, and Taiwan shares have a complementary relationship.