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研究生： 方裕翔
Fang Yu Hsiang
論文名稱： 期貨未平倉量如何預測現貨報酬和波動度?
How Does Futures Open Interest Predict Spot Return and Volatility?
指導教授： 葉錦徽
Yeh Jin Huei
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
論文出版年： 2017
畢業學年度： 105
語文別： 英文
論文頁數： 51
中文關鍵詞： 期貨未平倉量 、報酬 、波動度 、投資人類別 、價格發現
外文關鍵詞： Futures Open Interest, Return, Volatility, Investor Type, Price Discovery
相關次數： 點閱：17  下載：0 
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    • 期貨未平倉量對現貨報酬具有影響力，機構投資人能夠正確地影響同期的現貨報酬，然而散戶卻是錯誤地影響當期現貨報酬;僅外資之為平倉量對現貨報酬具有預測力，同時，散戶之未平倉量亦是錯誤地預測現貨報酬。

    Futures open interest are found to have impact on contemporary spot return. Institutional investors correctly affect underlying asset return while individual investors wrongly affect underlying asset return. Open interest of foreign investors have predictability on underlying asset return compare to other investors.

    中文摘要..................................... i ABSTRACT................................... ii 致謝........................................ iii Contents ..................................... iv List of Figures .................................. v List of Tables................................... vi 1 Introduction............................. 1 1.1 Motivation.............................. 1 2 Literature Review.......................... 4 2.1 Derivatives Volume, Open Interest and Returns . . . . . . . . . 4 2.2 Derivatives Volume, Open Interest and Volatilities . . . . . . . . 5 2.3 Types of Investors, Returns and Volatilities . . . . . . . . . . . . 6 3 Methodology............................. 8 3.1 Data................................. 8 3.2 Model ................................ 9 3.2.1 ARMA∼GARCH Model ..................... 9 3.2.2 Model by Bessembinder and Seguin (1993) . . . . . . . . . . . . 11 4 Empirical Results .......................... 14 4.1 Summary Statistics ......................... 14 4.2 Results of ARMA ∼GARCH Model................ 18 4.2.1 Unsigned change of trading variables . . . . . . . . . . . . . . . 18 4.2.2 Signed change of trading variables................. 21 4.2.3 Complete model control effects of different trade positions . . . 21 4.3 Results of Two-Stage Conditional Model . . . . . . . . . . . . . 27 4.3.1 Expected and unexpected components with different trade positions ................................. 27 4.3.2 Complete model control effects of different expected and unexpected positions........................... 32 5 Conclusion.............................. 36 References .................................... 37

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