三大法人資訊與台灣加權指數反轉的關係

Abstract

本研究探討外資、投信與自營商的台指期未平倉量及台指期成交量對於台灣加權股價指數價格反轉之影響。實證結果顯示，三大法人的台指期未平倉量、台指期成交量對於台灣加權股價指數之價格反轉具有顯著的影響力，外資期貨多單成交量及外資期貨多方未平倉量在型0反轉、型1反轉、型2反轉皆為負向顯著關係，所以當外資期貨多單成交量大或外資期貨多方未平倉量大時，價格不易反轉；投信期貨空單成交量及投信期貨空方未平倉量在型0反轉、型1反轉、型2反轉皆為負向顯著關係，所以當投信期貨空單成交量大或投信期貨空方未平倉量大時，價格不易反轉；從敘述統計與迴歸分析的數據分析，推論外資的交易策略週期偏向長期，投信的期貨部位主要用於避險。

This study explores that the relationship between open interest and volume of institutional investors and the price reversal of TAIEX. The result shows that the volume of institutional investors have significant impact on the price reversal of TAIEX. The open interest of institutional investors have significant impact on the price reversal of TAIEX.The long volume of foreign investors have negative significant on price reversals. The long open interest of foreign investors have negative significant on price reversals. The short volume of investment trusts have negative significant on price reversals. The short open interest of investment trusts have negative significant on price reversals.The trading period of foreign investors is long-term.The future position of investment trusts are used for hedging.