台股指數期貨到期效應之研究

The Study on the Expiration Effects of TAIEX Futures

林士弘(Shih-Hung Lin)

指導教授 ： 林允永

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00050

摘要

期貨合約因具有到期日的限制，而到期日必須以現貨結算，所以屆期貨到期日，現貨市場和期貨市場均會在報酬率和成交量及其波動率產生異常的狀況，此即為到期效應；到期效應是許多研究期貨和現貨中常見且重要的議題。
本研究旨在探討：台指期貨是否有到期效應，並找出影響到期效應的因素；外資在期貨及現貨市場上的操作情形；台指期貨結算制度的改變對期貨到期之報酬率是否產生影響，且是否亦是影響到期效應的主要因素？台指期貨在金融風暴發生後對到期之報酬率是否產生影響？並建立四個研究迴歸模型作為依據。
經實證分析結果，支持台指期貨存在到期效應，且台指期貨結算制度的改變及全球金融風暴的發生並未對期貨到期之報酬率產生影響。

關鍵字

台指期貨 ； 摩根台指期貨 ； 到期效應 ； 結算

並列摘要

The Futures contract is restrained by its expiration days and the settlements are also made on the expiration days. As a result, when the futures contract comes to near the expiration days, both the spot market and futures market will show abnormal rate of returns, trading volumes and price volatility rate. This phenomenon is referred as “expiration effect”, and it is a very critical issue shown in the studies for futures and spot markets frequently.
This study explores that if there is expiration effect of TAIFEX Taiwan Stock Index Futures. We also tried to find out the factors that influence the expiration effect. Will the activiries of foreign Investors in the futures and spot market have any impact on the rate of returns of the futures contract near expiration? Does the settlement system change in the TAIFEX Taiwan Stock Index Futures is the main factor affecting the expiration effect? Would there be any impact on the rate of returns for the futures expiration of the TAIFEX Taiwan Stock Index Futures after the Global Financial Crisis? We apply four research regression models to investigate the expiration effects on Taiwan futures market.
The empirical results support the existence of the expiration effect of Taiwan futures market. But the changes of settlement system in the Taiwan Futures market and the Global Financial Crisis have no siginificant effect.

並列關鍵字

TAIFEX Taiwan Stock Index Futures ； SIMEX MSCI Taiwan StockIndex Futures ； Expiration Effect ； Settlement

參考文獻

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