The Impact of Index Futures Trading on the Day-of-the-week Effect: Further Evidence from Taiwan Stock Market

股價指數期貨交易後對股市星期效應之影響：對臺灣市場的深入分析

李素詩(Su-Si Lie) ； 李桂枝(Kuei-Chih Lee)

《臺灣企業績效學刊》 2卷2期 (2009/06) Pp. 253-273

https://doi.org/10.6697/TBPJ.200906_2(2).0006

摘要

本文率先採用拆解的股票日報酬資料來深入研究股價指數期貨交易後對臺灣股市星期效應之影響。實證結果顯示：指數期貨交易後對股票日報酬的結構有顯著影響，這包括對股市日報酬星期效應的週期型態及過去日報酬對現在日報酬影響的落遲效果二方面。特別有趣的是：股票收益在三個期間的拆解之日報酬，意即開盤到收盤的報酬(open-to-close return, OCR)，收盤到開盤的報酬(close-to-open return, COR)和收盤到收盤的報酬(close-to-close return, CCR)，均顯示在指數期貨交易後，臺灣股市週二效應消失的情形。這樣的結果支持下列假說：指數期貨交易增強了資訊的流通及降低週一股市錯誤定價的風險，所以股票交易者有動機將一部份星期二的買賣移轉到星期一來交易。

關鍵字

星期效應 ； 指數期貨 ； 臺灣股市週二效應

並列摘要

This study investigates the impact of index futures trading on day-of-the-week effects for the Taiwan stock market. Using, for the first time, the decomposed daily return, we obtain our empirical results revealing that the introduction of index futures has a significant impact on the return structure, both in aspects of daily seasonality and the lag effects of past return on the current one. Of particular interest is that, Tuesday effect disappears for the open-to-close return (OCR), the close-to-open return (COR), and the close-to-close return (CCR) over the post-futures period. This result supports the hypotheses that the index futures enhance the flow of new information and lower the risk of the Monday miss pricing, so the traders have an incentive to shift some of their trades from Tuesday to Monday.

並列關鍵字

Day-of-the-Week Effect ； Index Futures ； Taiwanese Tuesday Effect

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