外資及自營商之臺股期貨及選擇權未平倉量對於加權指數之預測性

Abstract

本研究在探討外資及自營商於臺股期貨及選擇權未平倉量口數與金額對未來臺灣加權股價指數是否有預測性。並以迴歸分析來檢視外資與自營商藉由買賣超現貨、期貨及選擇權未平倉量口數及金額之增減，對未來臺灣加權股價指數報酬率之預測能力。 研究結果發現外資在現貨買賣超相對淨額、期貨多空未平倉量契約口數相對淨額、期貨多空未平倉量契約金額相對淨額、選擇權多空未平倉量契約金額相對淨額、選擇權賣方多空未平倉量契約口數相對淨額這五項數據上，與次日臺灣加權股價指數報酬率呈現顯著的正向相關，對於次日臺灣加權股價指數報酬率都有預測能力，顯見外資法人在期貨及選擇權未平倉量契約口數及金額之增減，對於臺灣加權股價指數之走勢有極高的參考價值。 而自營商僅在選擇權多空未平倉量契約金額相對淨額這項數據上，對於次日臺灣加權股價指數報酬率有非常顯著正相關之預測能力，這可能與自營商對於期貨及選擇權操作上比較偏向於避險需求有關，也表示自營商之資訊性不如外資。 選擇權賣方未平倉量的增加可能是對於未來標的物價格不會產生較大波動性之預期，但本研究發現外資在選擇權賣方多空未平倉量契約口數相對淨額之增減，對於臺灣加權股價指數報酬率有預測能力，這表示外資法人在持有選擇權賣方未平倉部位需承擔極高價格風險的狀況下，具有一定之資訊性可以預測未來臺灣加權股價指數之走勢。

This research examines the predictability of using foreign investors’ and Taiwan local dealers’ open interest on Taiwan Stock Index (“TAIEX’) through their futures and options positions, both volume and dollar amount. Regression analysis is employed to investigate whether the increase/decrease of foreign investors’ and Taiwan local dealers’ stocks, futures or options open interest enables traders to predict the return of investment (ROI) of TAIEX. The result indicates that foreign investors’ buy/sell stocks net difference, open interest of the number of future long/short contracts net difference, open interest of the long/short contracts net dollar value, open interest of options put/call contracts net dollar value, and sellers’ open interest of the number of options put/call contracts net difference have significant positive correlation on next day’s TAIEX ROI, showing them as predictive factors; proving that foreign investors’ future and option open interest, both on the number of contracts and dollar value, has high reference value on predicting TAIEX trend. However, Taiwan local dealers only have one predictive factor that exhibits very significant positive correlation on next day’s TAIEX ROI, and that is the open interest of options put/call contracts net dollar value. This could be due to Taiwan local dealers’ preference for using futures and options as hedging instrument and being less informed relative to foreign investors. The growth of sellers’ options open interest could reflect the expectation that there will be less volatility to the future target’s price. This research, however, discovers that the increase/decrease of foreign investor sellers’ open interest of the number of options put/call contracts net difference is predictive to TAIEX ROI, implying that foreign investors, despite the high price volatility risk of holding an open interest on sellers’ options, possess sufficient data and information to predict future TAIEX trend.