期貨交易者之交易行為及績效之研究

The Behavior and Performance of Trader Groups in Taiwan Futures Market

10.6295/TAMJ.2004.0401.06

林昭賢(Chao-Hsien Lin)；許溪南(His-Nan Hsu)

交易者行為 ； 正向回饋交易者 ； 動能策略 ； 避險壓力效果 ； 時間能力 ； traders' behavior ； positive feedback trader ； momentum strategy ； hedging pressure effect ； timing ability

台灣管理學刊

4卷1期（2004 / 02 / 01）

107 - 121

繁體中文

台灣自從1998年股價指數期貨交易後，由於各類別交易者的成交資料並未對外公開，因此有關於台灣各交易者的交易型態與其操作績效表現，外界不得而知。本文藉由期貨交易所提供之各交易者買賣超資料分析發現，在交易者行為方面，自然人與期貨自營商為正向回饋(positive feedback)交易者而外資與證券自營商為對立者(contrarians)，並且自然人與期貨自營商擁有較佳的時間能力。而在操作績效方面，各交易者在加權期指上並無顯著的領先績效，然而在電子期指上，自然人的操作績效卻顯著優於外資法人，然而這並不表示自然人有較佳的資訊內涵，反而是由於避險壓力假說的效果，這發現與大部分的股票市場交易者績效不同。

Taiwan began its futures trading in 1998. However, due to the unavailability of the transaction data set of futures-trader types to the public, the traders behavior and their performance were not known for the academics and market practitioners. This paper uses the unique data provided by the Taiwan Futures Exchange (TAIFEX) to analyze the behavior and performance of trader groups. Two findings in Taiwan futures market are obtained. First, we find that individual traders and futures firms are positive feedback traders and have better timing ability; however, foreign investors and security firms are contrarians. Second, the individual trader outperforms the foreign investor in electronic sector index futures significantly but not in TAIEX futures. This does not mean that the individual investor has better information content than the foreign investor. One possible explanation is that foreign investors (hedgers) pay a premium to speculators for risk bearing service, called ”the hedging pressure effect.” These results are inconsistent with earlier studies in equity markets.

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