非專業投資人在台灣期貨市場的超額報酬交易策略

Abstract

此篇論文利用台灣期貨交易所公佈的外資期貨未平倉資料應用於臺灣股價指數期貨擬定交易策略，藉由外資期貨未平倉資料設計買進賣出動作，觀察並探討擬定的交易策略是否能夠提供非專業投資人一個簡單且固定的超額報酬交易策略。

總研究資料期間為七年，從2008年1月到2014年12月，包含金融海嘯的空頭及各國進行量化寬鬆刺激經濟的多頭期間以完整測試整個景氣循環。另外從2015年1月到2015年12月進行樣本外的期間測試。 結果顯示，本論文依據台灣期貨交易所公佈的台灣股價指數期貨外資未平倉資料所設計的交易策略能夠提供非專業投資人獲得超額報酬且不需準備大額的初始資金即可實際參與交易策略的操作。

The purpose of this thesis is to study and develop a trading strategy applicable in the Taiwan Futures Exchange Market for non-professional individual investors. The investors can earn excess return in the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures (TX) by simply following the net amount of open interest from foreign institutional investors. These amounts are disclosed daily by the Taiwan Futures Exchange.

The sample period used in this study is seven years long. It includes the downside trend of the worldwide financial crisis in 2008 as well as the upside trend of Fed QE and ECB QE. Through these time periods, the study tests the whole business cycle. The initial sample period spans from January 2, 2008 to December 17, 2014. The forward-testing period spans from December 18, 2014 to December 16, 2015.

The final result proves and shows that it is possible for non-professional individual investors to earn excess return by using the long trading strategy of following the net amount of open interest from foreign institutional investors. This trading strategy provides a simple and fixed rule to help non-professional individual investors gain excess return from the Taiwan Futures Exchange Market. Furthermore, these strategies only require a small amount of initial capital to initiate trading TX in the Taiwan Future Exchange Market. This creates a minor entry barrier to all non-professional individual investors participating.