臺灣指數期貨最後結算價制度到期日效應之探討

A review on the expiration date effect of the final settlement price system for TAIEX futures

黃公正(Kung-Cheng Huang)

指導教授 ： 林蒼祥 ； 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00173

摘要

臺灣指數期貨最後結算價制度多次變革，最近一次變革為依照Lin et al. (2008)所提出臺灣期貨交易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計畫報告之建議，於2008年12月實施最後結算制度新制，實施至今已有數年，本研究採用拔靴複製檢驗法，討探實施新制後，是否如Lin et al. (2008)研究計畫之結論具有:一、減緩到期日效應，二、降低有心人士操作結算價的可能性，三、盤中資訊透明，最後結算價易驗證的效果。
實證結果顯示，最後結算新制有達到Lin et al. (2008)研究計畫之結論的三項優點。

關鍵字

最後結算價 ； 到期日效應 ； 拔靴複製法

並列摘要

The final settlement price system decision have 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, in December 2008 to implement the final settlement system of the new system, has been implemented for several years. This study uses bootstrap test method to explore After discussing the implementation of the new system, whether the conclusions of Lin et al. (2008) are as follows: 1. Ease off Expiration-day effect, 2. Reduce the possibility of intentional persons operating final settlement price, 3. Intraday information is transparent, and final settlement price is easy to verify.
The empirical results show that the new final settlement system has three advantages that reach the conclusion of Lin et al. (2008) research plan.

並列關鍵字

final settlement price ； expiration date effect ； Bootstrap

參考文獻

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