現金交割制度下之期貨結算指數設計

Cash Settlement Price on Futures Contract

周建新(Jian-Hsin Chou) ； 陳淑英(Shu-Ying Chen)

《管理科學與統計決策》 3卷2期 (2006/06) Pp. 1-23

https://doi.org/10.6704/JMSSD.2006.3.2.1

摘要

本研究採用臺灣期交所四種指數期貨為研究的標的契約，比較不完全平均數法、溫賽平均數法、成交量加權平均數法及指數平滑法等四種不同統計方法，所建構之結算指數，並與目前臺灣期交所現行的結算制度做一比較。結算指數之優劣，本文則以其能否帶來最大之避險績效與價格發現效果，作為判斷好壞之依據。實證結果發現不完全平均數法和溫賽平均數法所求出的結算指數，在四種期貨商品間，不論在避險績效與價格發現效果上，皆優於現行結算指數。這一結果可以作為未來臺灣期交所在設計現金交割制度結算指數之參考。

關鍵字

股價指數期貨 ； 現金交割 ； 不完全平均數法 ； 溫賽平均數法

並列摘要

This paper is aimed to construct the optimal cash settlement prices for the four index futures traded on TAIFEX. The cash settlement futures prices are estimated by the truncated mean, α-Winsorized Mean, value weighted mean, and the exponential smoothing methods. We compare their hedging performance and price discovery effect with the current system that TAIFEX adopted. The empirical results indicate that the cash settlement prices obtained by the truncated mean and α-Winsorized Mean methods have best hedging performance and price discovery effect. This finding will be helpful for the TAIFEX to construct their futures settlement prices based on cash settlement.

並列關鍵字

stock index futures ； cash settlement ； truncated mean method ； α-Winsorized Mean

參考文獻

林丙輝、周建新(1995)。期貨交割制度之探討。證交資料。398，6-16。

Working Paper Series

Cita, J.,Lien, D.(1997).Estimating Cash Settlement Price: The Bootstrap and other Estimatore.Journal of Futures Markets.17(6),617-632.

Garbade, K. D.,W.L. Silber(1983).Cash Settlement of Futures Contracts.. An Economic Analysis.Journal of Futures Markets.3(4),451-472.

Kahl, K. H.,M. A. Hudson,C. E. Ward(1989).Cash Settlement Issues for Live Cattle Futures Contracts.Journal of Futures Markets.9(3),237-248.