股價指數期貨到期日效應之實證：以台灣股票市場為例

Expiration-Day Effects of Index Futures: Some Empirical Evidence from Taiwan Stock Market

闕河士(Horace Chueh) ； 楊德源(Der-Yuan Yang)

《財務金融學刊》 13卷2期 (2005/08) Pp. 71-95

https://doi.org/10.6545/JFS.2005.13(2).3

摘要

本研究以日內每分鐘交易資料為基礎，檢驗指數期貨到期結算對台灣股市的影響。實證結果發現，在摩台股期貨最後交易日收盤時段，股市的價格波動顯著提高，而且在次日出現價格波動降低的現象。至於台股期貨部分，在當結算制度下，最後交易日收盤時段價格波動提高，而且在最後結算日開盤出現顯著的高價格波動。不過，在最後結算價計算時間延長後，上述到期日效應就消失。此外，期貨定價偏離程度與現貨股市結算時段報酬率無顯著關係，這表示套利交易可能不是造成台灣股市到期日效應的主因。

關鍵字

指數期貨 ； 到期日效應 ； 價格反轉

並列摘要

This paper examines index futures expiration-day effects on the Taiwan stock market with high-frequency transaction data. We find that high price volatility exists on the market close of the last trading day for MSCI Taiwan index futures and it decreases next day. As for TAIEX futures, the results show that price volatility increases around the close of the last trading day and on the market open of the last settlement day under the old settlement system. However, such phenomenon disappears after the settlement period is lengthened. In addition, the futures pricing bias is not related to the returns of the last settlement period, it seems that the expiration-day effect cannot be attributed to price manipulators.

並列關鍵字

Stock index futures ； Expiration-day effects ； Price reversal

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