Research on Rise or Fall Forecast on the Expiration Date: Based on Taiwan Weighted Index Futures and Options.

• Main Authors: HUANG, YU-TENG, 黃昱騰
• Other Authors: 江耕南
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/mw4q74

碩士 === 逢甲大學 === 金融碩士在職學位學程 === 106 === This study is a research on rise or fall prediction on the expiration date. The data collection period of this paper was from January 2009 to April 2018. Data from January 2009 to December 2014 were taken as in-samples, and data from January 2015 to April 2018 were taken as out-sample. In this article, we take four categories of variables, such as TWSE trading information, futures and options data in TAIFEX, international stock markets and exchange rates, total 14 factors. After concerned all the variables, using Logistic regression model in-sample data to predict the winning percentages of the daily rise and fall of the Taiwan Index’s Futures and Options on the expiration date, and to design three variable models with different lagged days. Assessing the effect of out-sample data in predicting the ups and downs of the Taiwan Index's Futures and Options on the expiration date, the results of the prediction in this three models, model one has the highest winning percentage and the overall winning rate of classification is 60.00%. In addition, the evaluation results of significant variables are Taiwan Weighted Index Price-Book Ratio (PB), TAIFEX Volatility Index (VIX), Standard & Poor 500 Index Return Rate (SP500), iShares MSCI China Large-Cap ETF Return Rate (FXI) and Foreign Institutional Investors Futures Position Ratio (FFBS). The variables of the positive influence relationship are PB, VIX, SP500 and FFBS; the variable of the negative influence relationship is FXI. The prediction of rise or fall from SP500 on the Taiwan Index’s Futures and Options on the expiration date shows the same results as previous literature that the returns of Taiwan Stock Weighted Index will change following the US stock market changes.