A Study of Correlation between Layout of Three Major Institutional Investors and Taiwan Weighted Stock Index

[[abstract]]摘要 本研究探討三大法人在台股、台指期貨與台指選擇權之佈局與台灣加權指數日報酬之相關與影響，資料來源為台灣經濟新報資料庫，資料期間為三大法人於期貨交易2012年9月1日起到2013年8月30日共234筆日資料。由籌碼面及總體經濟面的匯率、利率、融資融券與各主要國家的收盤指數尋找影響台灣加權指數之18個重要變數，採用逐步迴歸分析建構實際面迴歸模式，進而運用同樣原理，建立預測面模式，預測未來外資台指期多空交易口數淨額影響台股走勢。 分析結果顯示： 從實際面而言：在考慮國際指數及融資增減比率下，三大法人買賣超資訊、未平倉部位對台灣加權指數之影響力，以融資增減比率增加於短期投資方面有優異的表現，對台灣加權指數日報酬會提升股價的後勢。2001年開放外資後，2007年至2013年外資對台指選擇權及台指期貨進出契約數均快速成長，證明外資對於台股的規模有決定性影響力且與日俱增。台灣加權指數日報酬之影響於台指期未平倉部位主要受外資台指期多空未平倉口數淨額之影響，由外資買賣超及未平倉交易量交互影響達到避險。台指選影響程度依序為外資及自營商多空交易口數淨額。 從預測面而言：三大法人買賣超金融交易行為對台股指數報酬較無影響力，故投資人無法由其買賣超波動判斷台股指數報酬以從操作策略中獲取利潤。預測分析由國際指數與外資台指期多空交易口數淨額預測未來趨勢，依診斷模式顯示解釋力達22.2%，雖比實際少減少3倍，顯示外資台股期貨策略之參考性及對台灣加權指數日報酬具有影響力。[[abstract]]This study discovers the relevance and influence of three major institutional investors in establishing strategy of Taiwan Stocks, Taiwan Index Futures, and Taiwan Index Options and fluctuations of Taiwan Weighted Index using data source TEJ with three major institutional investors’ transactions in futures between Sep. 1 2012 to Aug. 30 2013, a total of 234 days’ data. Gathering 18 most influential variables to Taiwan weighted stock index from perspectives of chips and macroeconomics’ exchange rate, interest rate, margin loan and stock loan, and each major country’s close index, and then using stepwise regression analysis for establishing regression model of reality. Furthermore, using same principle for establishing regression model of prediction that forecasts the influence of future foreign institutional investors’ long and short trading net positions in Taiwan Index Futures to future trend in Taiwan Stocks. Result of study analysis： In respect of reality： In consideration of global index and margin loan’s increasing/decreasing ratio, the influence of three major institutional investors’ net buy/sell information, net open positions to Taiwan weighted Stock Index, and the excellent performances of margin loan’s increasing/decreasing ratio to short term investment have an impact to Taiwan weighted stock index returns for sustaining stock price’s increasing trend. In 2001, after legalizing foreign investment, from 2007 to 2013 foreign investment has rapid growth in Taiwan Index Options and fluctuations and Taiwan Index Futures’ trading contracts’ volume; this shows that foreign investors have played an increasingly significant role in Taiwan Stock’s scale. The influence of Taiwan weighted stock index returns to Taiwan Index Futures’ net open positions is mainly affected by foreign investors’ Taiwan Index Futures’ long and short trading net positions on open interest; hence, foreign investors interactive influences between net buy/sell and net open positions’ amount in order to achieve hedging purpose. Taiwan Index Options’ degrees of influences are foreign investment and dealers in order depending on long and short trading net positions on open interest. In respect of forecast： Three major institutional investors’ net buy/sell financial trading behaviours have rather no influences to Taiwan stock’s index returns; hence, investors are unable to manipulate strategies to profit through judging net buy/sell fluctuations for Taiwan weighted stock index returns. From prediction analysis, using global index and foreign investors’ Taiwan Index Futures’ long and short trading net positions to forecast future trend, as per clinical mode shows the explanatory power reaches 22.2%; though its actually 3 times less, it shows that foreign investors’ strategy in Taiwan stocks’ futures has some impact on Taiwan weighted stock index returns