A Disquisition on the Forecast Performance of Taiwan Stock Index Futures Trends: An ARIMA Model and Effect of Open Price on the Index Futures

加權指數期貨趨勢預測績效之探討：ARIMA模型與開盤價預測效應

10.6697/TBPJ.201206_5(2).0005

陳俊言(Chun-Yen Chen)

指數期貨 ； 開盤價 ； 趨勢預測 ； 時間序列 ； ARIMA ； Index Futures ； Open Price ； Trend Forecast ； Time Series ； ARIMA

臺灣企業績效學刊

5卷2期（2012 / 06 / 01）

257 - 275

英文

本研究探討加權指數期貨的中長期移動趨勢預測，以月末開盤價與次月收盤價，來分析檢驗台灣指數期貨走勢預測情形，以了解在較長天期的預測期間中，月基礎的開盤價與收盤價，是否其有一定水準的預測相關性，或提供建立更平穩有效的趨勢預測方法。研究採用時間序列預測分析應用ARIMA及迴歸檢驗方法，就2003-2007年間台灣期貨交易所（TFE）台灣加權指數期貨（TX）近月期貨之月末最後開盤價與次月收盤價，分析其相關性及有效性為何。實證分析結果指出，於近月指數期貨中月末最後開盤價，表現出其有預測次月底收盤價趨勢的相關性。

This paper explores the long and mid-range Taiwan Stock Index Futures (TX) trend forecast model by using the latest opening price of month and closing price of the next term as parameters in an attempt to forecast the moving trend of Taiwan stock index futures. The model has been empirically tested by adopting Time-Series model called ARIMA and time trend regression to see if monthly-based opening price and closing price bear some coherent correlations to predicting the moving trends of Taiwan Stock Index Futures. Our results derived from the study of the data of Taiwan Stock Index Futures (TX) issued by the Taiwan Futures Exchange (TFE) from the period of 2003 to 2007 clearly show that there is a positive correlation with the opening price of month for forecasting the closing price of next term in Taiwan Stock Index Futures.

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