多空期間投資人情緒與台股期貨報酬關係

The Relationship between Investor Sentiment and Futures Return under Bear and Bull Market

本文探討投資人情緒變數，如何影響台股期貨報酬。相較於期貨價格，考量期貨多空期間，以期貨成交量與未平倉量、賣買權成交量比、與市場波動率指數做為情緒代理變數，觀察每分鐘期貨報酬與情緒變數之關係。實證發現，全樣本期間時，同期現貨報酬、期貨成交量、期貨未平倉量皆與台股期貨報酬呈現正向關係，而賣買權成交量比與市場波動率指數則與台股期貨報酬為反向關係，顯示投資人情緒愈高，期貨報酬愈高。於空頭期間時，現貨與期貨的正向關係增強，另外，賣買權成交量比與期貨報酬之負向關係則會降低，顯示投資人情緒高低與期貨報酬受到空頭影響。總言之，投資人的情緒因素確實有助於解釋日內期貨報酬。

This report is to study how variables of investor sentiments affect the TAIFEX futures returns. Compared with futures trading prices, we use the futures trading volume, open interests, put-call ratio and VIX as sentiment variables and analyze the relationship between the futures returns and sentiment variables. During the sampling period, we find that the relationship of cash market returns, futures trading volume, futures open interest and TAIFEX futures returns is positive. Whereas, the relationship of put-call ratio, VIX and TAIFEX futures returns is negative. It represents the higher the sentiment, the higher the futures return. At the bear market, the positive relationship becomes stronger between securities and futures whereas the negative relationship mitigates between put-call ratio and futures returns. In other words, investor sentiments and futures return are influenced at the bear market. The findings indicate that investor sentiments play an important role in explaining intra-day futures returns.