A research of using block trade strength as an invest indicator: Research on TAIEX Options.
碩士 === 國立臺北大學 === 資訊管理研究所 === 95 === Taiwan futures market grew extremely fast since the Taiwan Futures Exchange established in 1998, and the volume by year of Taiwan Futures Exchange break through one hundred million lots─ranked as top 31 in the world. The main reason for the speedy growth was the...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51077400775710887861 |
| Summary: | 碩士 === 國立臺北大學 === 資訊管理研究所 === 95 === Taiwan futures market grew extremely fast since the Taiwan Futures Exchange established in 1998, and the volume by year of Taiwan Futures Exchange break through one hundred million lots─ranked as top 31 in the world. The main reason for the speedy growth was the appearance of Taiwan Stock Exchange Capitalization Weighted Stock Index Options (TAIEX Options); the trading volume grew doubles hereafter. TAIEX Options trading volume was 84.58% of volume by year 2006, which means TAIEX Options was an important factor to the rising of Taiwan futures market. The Trading Structure changed while Foreign and Institutional Investors regard hedging as important. Foreign and Institutional Investors trading weight surpassed Individuals' firstly in 2005, which was contrary to before. Foreign and Institutional Investors were able to control the futures market. The research wants to predict the tendency and round-trip of Taiwan Stock Exchange Capitalization Weighted Stock Index by using block trade strength model, and the result could be an investment indicator for the Buyer and Seller.
The research is proved 70% accurate under long strategy average achievements 47.36% by putting January 2007 to March 2007 nearby-month contracts to use. The strong point is break through once under the short strategy average achievements are 22.43%.
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