代操帳戶下當沖交易之分析

The Analysis of Discretionary Account from Day Trading

10.6565/JGME.2016.12(1).5

康瓊文(Chiung-Wen Kang)；王銘駿(Ming-Chun Wang)；張凱能(Kai-Neng Chang)

代客操作 ； 當日沖銷 ； Discretionary Account ； Day Trading

全球管理與經濟

12卷1期（2016 / 06 / 01）

71 - 102

繁體中文

本文以台灣34家期貨商1,395個代客操作帳戶2000年1月至2007年12 月資料為樣本，分析期貨商代客操作表現，並且藉由期貨商代客操作進行之當沖交易、平倉交易或留倉交易，判斷其利潤差異，共得以下幾點結論(1)期貨商代客操作時，在三種部位(當沖部位、留倉部位與平倉部位)交易十年期公債期貨(GBF)、櫃買期貨(GTF)與台灣50期貨(T5F)獲利較為明顯(2)期貨商代客操作時，在三種部位下(當沖部位、留倉部位與平倉部位)交易電子期貨(TE)、金融期貨(TF)與台指期貨(TX)普遍虧損居多，尤以台指期貨(TX) 虧損最為明顯(3)期貨商代客操作下，進行當沖交易確實會較平倉交易或等契約到期的留倉交易利潤來的較好。

This paper takes intra-day data from 34 futures commission merchants and 1395 discretionary accounts from January 2000 to December 2007 to analyse futures commission merchants’ performance on discretionary accounts operation. Through the difference in profits from day trading, offset, and open interest by futures commission merchants’ discretionary account operation, we come to the following conclusion. First, with discretionary account operation from futures commission merchant, the three positions have obvious/significant profit on GBF, GTF, and T5F. Second, with discretionary account operation, the three positions generally show loss on TE, TF, and TX, especially on TX. Third, under discretionary account operation, executing day trading has much more profit than offset and open interest.