Analysis of the Impact on Taiwan Index Futures Price from the Institutional Investors\' Holdings of Stocks, Futures and Options：Construction of Taiwan Futures Market Trading Strategies

• Main Authors: Chung-Kang Wu, 吳仲康
• Other Authors: Wei-Chung Miao
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/78n57q

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 107 === As the financial markets become increasingly diversified, they are inevitably affected by many factors. Changes in the fundamental, technical, chip and news/ policy factors are likely to cause market volatility. This study focuses on the dynamic correlation between the changes in the chip factor, i.e. institutional investors’ holdings of the stocks, index futures and options, and the rise and fall of the Taiwan index futures price. In addition, the performance of the undershoot and band trading is studied under the framework of the linear regression models. In the analysis of the dependence between the chip factor and futures price, this study first investigates the correlation coefficient matrix between the chip factor (institutional investors’ holdings) and the Taiwan index futures price. It is then followed by the simple and multiple linear regression models to explore the inter-phase interaction between the chip factor and the Taiwan index futures price. In addition, since the chip data are continuous, when the range of their fluctuation is small, they are not able to provide information about the next-day index futures price movement. As a remedy, in this study the hierarchical distance method is used to make a continuous conversion of the chip data, thereby filtering the influence. The trading signals generated by the large sample, which in turn reduces the transaction cost, can improve the net profit and winning percentage. The empirical results show that in the correlation between the chip factor and the Taiwan index futures price, the chip change has an impact on the Taiwan index futures price, while the futures and option type chips have even stronger influence than the stock type chips. Moreover, the changes in the weekly options market value had the most significant impact on the Taiwan index futures price, and the model R-squared constructed by the hierarchical chip factor was slightly higher than the case with the continuous chip factor. In the daytrade and band trading, the band strategy has apparently better results. The performance of the band strategy constructed by the hierarchical chip factor is higher than that constructed by the continuous chip factor, and the risk is lower than the band constructed by the continuous chip factor.