本研究探討台灣期貨市場資訊對其現貨當日報酬率及波動性之影響。 研究標的為台灣加權股價指數期貨，樣本取自TEJ（台灣經濟新報）、期交所日資料，資料包含現貨報酬率、台灣加權股價指數、全部未平倉量、前五大大額交易者未平倉量以及前五大特定法人未平倉量，研究期間為2005年1月3日至2016年9月30日。我們以期貨未平倉量資訊為基礎，轉化為情緒指標，利用GJR-GARCH模型，來探討情緒指標對現貨報酬率及其波動性產生之影響。 研究結果顯示，對現貨市場報酬率，前二十日現貨市場平均報酬率、前五大大額交易者賣方情緒、及前五大大額交易者買賣方情緒變化量影響顯著。在前五大特法買方情緒達到50以上對現貨市場報酬率，前五大大額交易者買方情緒及前五大額交易者買賣方情緒變化量有額外效果。在前五大特法買方情緒達到50以上時，前五大特法買方會降低現貨市場報酬率的波動性。 This study explores the impacts of Taiwan's futures market information on its rate of spot return and its volatility. The research object is the Taiwan weighted stock price index futures. The sample is from the TEJ (Taiwan Economic Journal) and the daily data on futures exchange which including the spot return rate, Taiwan weighted stock price index, all open interest, the capacity of uncovered position of the top five large traders and the top five specific corporations' open interest. The time span is from January 3, 2005 to September 30, 2016. We used the GJR-GARCH model to explore the impacts of emotional indicators on the spot rate of return and its volatility, based on the futures open interest information and converted into the emotional indicators. The results show that the first 20 days of the spot market average return rate, the sentiment of the top five large traders sellers, and the sentiment changes of the top five large traders impact the spot market rate of return significantly. The sentiment of the top five large traders buyers and the sentiment changes of the top five traders have additional effects on the spot market rate of return of the top five special corporation buyers when the sentiment reach over 50. When the top five special corporation buyers sentiment reach over 50, the top five special corporation buyers will reduce the volatility of the spot market rate of return.
