Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/17656
標題: 期貨交易人未平倉部位與股票報酬之關係
The relation between future open interest of traders and stock returns
作者: 黃郁秦
Huang, Yu-Chin
關鍵字: Stationary
定態
Open interest
Sentiment indicator
未平倉部位
情感指標
出版社: 應用數學系所
引用: [1]陳美吟 (民國92年)。 “類別交易者交易行為之研究---台灣期貨市場之實證。” 國立成功大學企業管理研究所,碩士論文,台南。 [2]Box, G. E. P. and Pierce, D. (1970). “Distribution of residual autocorrelations in autoregressive-integrated moving average time series models.” Journal of the American Statistical Association, 65, 1509-1526. [3]Briese, S. E. (1994) “Illuminating data:commitments of Traders report can disclose promise, perils in the market.” Barron''s, May 2. [4]De Long, J., Shleifer, A., Summers, L. and Waldmann, R. (1990). “Noise trader risk in financial markets.” Journal of Political Economy, 98, 703-738. [5]Dickey, D. A. and Fuller, W. A. (1979) “Distribution of the estimates for autoregressive time series with a unit root.” Journal of the American Statistical Association, 74, 427-431. [6]Dickey, D. A. and Fuller, W. A. (1981) “Likelihood ratio statistics for autoregressive time series with a unit root.” Econometrica, 49, 1057-1072. [7]Fisher, K. L. and Statman, M. (2000). “Investor sentiment and stock returns.” Financial Analysts Journal, 56, 16-23. [8]Granger, C. W. J. and Newbold, P. (1974). “Spurious regressions in econometrics.” Journal of Econometrics, 2, 111-120 [9]Kaniel, R., Saar, G. and Titman, S., (2004). “Individual investor sentiment and stock returns.” Working paper. [10]Kearns, J. and Manners, P. (2004). “The profitability of speculators in currency futures markets.” Working paper. [11]Ljung, G. and Box, G. E. P. (1978). “On a measure of lack of fit in time series models.” Biometrika, 66, 67-72. [12]Shalen, J. C. (1993). “Volume, volatility, and the dispersion of beliefs.” Review of Financial Studies, 6, 405-434. [13]Simon, D. P. and Wiggins III, R. A. (2001). “S&P futures returns and contrary sentiment indicators.” The Journal of Futures Markets, 21, 447-462. [14]Tsay, R. S. (2005). Analysis of financial time series. John Wiley & Sons, INC. University of Chicago. [15]Wang, C. (2001). “Investor sentiment and return predictability in agricultural futures markets.” The Journal of Futures Markets, 21, 929-952. [16]Wang, C. (2002). “The effect of net positions by type of trader on volatility in foreign currency futures markets.” The Journal of Futures Markets, 22, 427-450. [17]Wang, C. (2003). “Investor sentiment, market timimg, and futures returns.” Applied Financial Economics, 13, 891-898.
摘要: 近年來,世界各國皆有人研究各種的情感指標來預測指數報酬的走向。而期交所為增加市場資訊透明度,提高商品流動性與交易公平性,故參考世界主要國家的做法, 自 2005 年 1 月 3 日起,每日公佈各商品大額交易人未平倉部位數。因此本篇論文探討大額交易人未平倉部位數是否可當作一預測加權股價指數報酬走向的情感指標。
In recent years, many scholars investigate sentiment indicator in order to predict trend of the returns. Taiwan Futures Exchange advertise open interest of individual stocks in order to increase transparency of the market information, liquidity of the commodity, trade fairness and consult the method of the main country of the world, since January 3 , 2005. In this article, we investigate that open interest can be regarded as the sentiment indicator in order to predict trend of the returns.
URI: http://hdl.handle.net/11455/17656
其他識別: U0005-2706200618044600
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2706200618044600
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