正向回饋交易行為對台灣指數期貨報酬之短期動態的影響

Abstract

本文利用台股指數期貨、電子類股指數期貨、金融類股指數期貨，以及小台股指期貨資料，在應用Sentana and Wadhwani (1992)正向回饋交易模型架構下，以ANST-GARCH及VR模型研究開放期貨經理業務後及允許外資可以非避險爲目的從事台灣期貨交易後，期指市場的正向回饋交易水準是否增加、正向回饋交易水準在跌勢市場是否增加以及期貨價格動態是否受正向回饋交易影響等三個議題。研究結果顯示政策開放後，期指的正向回饋交易水準增加，顯示期貨市場分析資訊的專業人才不足；政策開放後，正向回饋水準在跌勢市場有增加的現象，造成操作偏多的自然人投資人常在跌勢市場遭受重大的損失；開放非避險外資後，短期期貨報酬動態呈現隨機漫步，顯示外資有助於提高期貨價格的資訊效率。

This paper examines the impact of positive feedback trading behavior of investors on the Taiwanese index futures market including TAIEX, Electronic Sub-Index, Finance Sub-Index and Mini-TAIEX by modifying the framework of the model developed by Sentana and Wadhwani (1992). Using the Asymmetric Nonlinear Smooth Transition GARCH (ANST-GARCH) Model and Variance Ratio (VR) model, our empirical results demonstrate that positive trading is more intensely during market declines than it is during market advances since the government opened the enterprises for managed futures. Moreover, it is shown that non-hedge foreign institutional positive feedback traders decrease the autocorrelation of short term futures returns. Therefore, those foreign positive feedback traders increase price discovery function in Taiwan index futures markets.