- 學位論文
最後結算價制度之到期日效應探討-以電子期貨及金融期貨為例
A review on the expiration date effect of the final settlement price system - take electronic futures and financial futures as examples
摘要
最後結算價制度之決定以變革數次，依Lin et al. (2008)所提出期交所股價指數期貨契約最後結算價與最後結算日決定方式之專題研究計畫報告之建議，於2008年12月實施最後結算制度新制，至今已有數年，本研究採用拔靴複製統計法，探討實施後臺灣期貨交易所電子類及金融保險類之股價指數期貨指數之現貨標的是否減緩到期日異常效應，降低人為操縱行為的可能性及盤中資訊透明，最後結算價易於驗證，其市場之公平性是否彰顯。 實證結果顯示，於2008年12月實施最後結算制度改變後，雖仍有到期日效應現象，然相較於改變前有所減緩，亦減緩到期日異常效應、降低人為操縱之可能及最後結算價資訊透明且易於驗證，使市場較公平地提供投資者避險、投資及投機之工具，更穩定並保障投資人之權益。
並列摘要
The final settlement price system decision to change several times, Lin et al. (2008) put forward the stock exchange stock index futures contract final settlement price and final settlement date decision mode of the thematic research plan report, the implement the final settlement system of the new system in December 2008, has been implemented for several years. This study uses bootstrap method to explore whether the spot subject of the electronic and financial insurance index of Taiwan futures exchange signed in the spot index of the stock index of the final futures contract has an expiration effect, if there’s an effect, would maturity date effect slowed down to promote market activities carry on successfully to achieve fairness? The empirical results show that after the implementation of the new system of final settlement in December 2008, although there’s still happening the phenomenon of maturity date effect, however compared it with the unchanged, it has been slowed down, and it also decrease artificial manipulative behaviors, which makes it much more fair from providing investors with tools for hedging, investing, and speculating. Furthermore it stabilized and guaranteed the rights and interests for investors.