Influence of the Open Interest of Foreign Institutional Taifex on Local Proprietary Net Positon

自2008年7月公佈三大法人期貨未平倉量淨部位後，實務上便會以其淨部位當做重要參考指標，尤其是外資淨部位特別受到重視。本文將分成兩部分，首先針對台指期以及三大法人淨部位進行單根檢定(unit root test)，因台指期經一階差分後為定態數列，故與三大法人OI淨部位直接進行Granger因果關係檢定、衝擊反應函數、預測誤差變異數分析。若資料為非定態則將進行共整合檢定及誤差修正模型等時間序列方法，檢定外資淨部位是否有足夠證據能夠當交易策略的重要資訊。因果關係檢定結果發現台指期一階差分與外資淨部位具有雙向回饋關係，而台指期對於自營商淨部位則是具有顯著的影響，顯示自營商為明顯的趨勢交易者，實證中也發現外資會參考投信、自營商OI淨部位變化進行調整，反之卻不然。 另外，從衝擊反應分析中發現外資OI淨部位對於台指期一階差分衝擊於第二期達到高峰，之後便隨之遞減。外資OI淨部位對於台指期一階差分的誤差變異解釋比例為1.43%，相對自營商的0.015%高出許多，顯示外資OI淨部位的增減對於台指期的影響相對其他籌碼而言更具代表性。 第二部份則是將過去外資OI淨部位當成指標，加入程式交易策略，期望能透過外資OI淨部位降低無效的進場，提升績效或是降低最大虧損的風險，透過程式交易軟體MultiCharts的績效回溯測試，可以發現不論對當沖或是留倉的交易策略上都有顯著提升績效或是降低最大虧損的情況。Since July 22, 2008, Taiwan Futures Exchange made major 3 corporation OI (open interest) net position (abbreviated Major 3) public, some people made the trading strategies according to these OI net position, especially foreign institute. This study divided into two parts. First, we adapted Taiwan futures index (abbreviated Taifex) and Major 3 daily data to analysis why we used foreign OI net position as an indicator to construct programming trade with time series method when time series are stationary , included unit root test，Granger causality test，impulse response function，variance decomposition. If time series are nonstationary then execute cointegration analysis and error correction model. Taifex and foreign OI net position had two-way feedback relationship according to Granger causality analysis. And Taifex obviously impacted local proprietary OI net position, it indicated they were “follow trend” trading type. In addition, foreign OI net position could adjusted themselves by change of local proprietary OI net position. The empirical found out if the previous Taifex went up and the previous foreign OI net position also increased, the Taifex could always went up. And if the previous Taifex went down and the previous foreign net OI position increased, foriegn OI net position increased. According to impulse response function analysis, foreign OI net position impacted most seriously by Taifex shocks in the second preriod and then decreased over time periods. Taifex could be impacted by foreign OI net position 1.43%, but local proprietary OI net position only 0.015%. It indicated that foreign OI net position is more important than local proprietary OI net position and Trust OI net position to Taifex. The second part was that we brought foreign OI net position into original trading strategies. We hoped that this important indicator could filter some ineffective signals to raise strategies performance or reduce downside risk. We could found it certainly raised performace or reduced maximum drawdown, whether daytrade trading or over-night trading type not

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