外資期貨未平倉量與加權指數走勢之探討：以次貸風暴為例

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/28815

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/28815

Title:	外資期貨未平倉量與加權指數走勢之探討：以次貸風暴為例
Other Titles:	The Investigation of Foreign Capital Future Open Interest on Taiwan Weight Index: The Test of Subprime Crisis
Authors:	陳鴻齊 CHEN, HUNG-CHI
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	外資;期貨未平倉;加權指數 Foreign Capital;Future Open Interest;Taiwan Weight Index
Date:	2021
Issue Date:	2022-08-16 13:20:40 (UTC+8)
Abstract:	期貨市場設置目的在於提供投資人多元化的投資或避險管道，1990 年諾貝爾經濟學獎得主 Merton H. Miller 也曾表示“期貨是二十世紀人類的偉大金融創舉”，期貨商品同時扮演著投機與避險的雙重角色，外資在台灣股票市場到近年甚至已經超過4成的持股比重，因此外資在期貨部位的佈局，某程度也反映外資對於台股後市的看法，台灣股市屬於淺碟型市場，發生重大危及金融市場事件時，會造成投資人來不及賣出避險或變現，容易出現流動性風險。本研究以2008年金融風暴前後一年台股指數期貨未平倉量變化做為研究對象，並以2008年9月15日雷曼兄弟申請破產保護做為金融風暴的分界點，希望借由未平倉量的變化，了解加權股價指數的變化。　　The purpose of setting up the futures market is to provide investors with diversified investment or hedging ways. “Futures is the great financial innovation of mankind in the twentieth century”, as the statement of Merton H. Miller, the winner of the Nobel Prize in Economics Sciences in 1990, futures plays the dual role of speculation and hedging at the same time. The shareholding ratio has escalated from 30% to 40% above since the financial tsunami in 2008. Therefore, the layout of foreign capital in futures market may reflect the opinion of foreign investors on Taiwan's stock market. Taiwan's stock market is a shallow dish market. Because of relatively lacking of trading volume, investors in Taiwan may not have enough time to sell out for hedging or realization. This study takes the change in the open interest of Taiwan stock index futures in one year before and after the 2008 financial turmoil as the research object, and uses Lehman Brothers' application for bankruptcy protection on September 15, 2008 as the starting point of the financial turmoil.Hope by the excess amount of foreign trading. Taiwan Futures Exchange announced the daily foreign long open positions, short open positions, net open positions, as well as the closing price, change points, and changes of futures.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

Files in This Item:

File	Description	Size	Format
109NHU00304008-001.pdf		1908Kb	Adobe PDF	118	View/Open
index.html		0Kb	HTML	426	View/Open

Loading...