到期日效應與市場效率性

Expiration-Day Effects and Market Efficiency

陳念帆(Nien-Fan Chen)

指導教授 ： 林蒼祥 ； 蔡蒔銓

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00307

摘要

本研究之目的台灣期貨市場是否存在到期日效應，並分別探討現貨和期貨市場在到期日與非到期日的效率性差異。以及市場效率與到期日效應之關連，此為先前到期日效應文獻所未著墨的部分，本研究針對此關連性加以探討。利用報酬率、波動度、價格反轉和交易量四種指標來到期日時，是否具有顯著異常現象。而在市場效率性方面，利用Fama(1965)一階自我相關模型為基礎測試出最適模型，由於需要比較在到期日與在非到期日報酬隨機性的差異，故將虛擬變數交叉項加入模型，藉此比較兩者效率性的差別。
實證結果發現，指數大多在到期日時有異常現象。而在現貨市場效率，發現台灣加權股價指數和電子指數在到期日與非到期日的市場效率性無顯著差異，而金融保險指數的則有顯著差異。這是由於前兩者的成分股較多，投資人行為對指數的影響力較低，資訊無法完全反應於指數上。又在結算前區間資訊已慢慢反應，表示其資訊未一次反映完全，而是部分反應，使得其差異不顯著。反之，金融保險指數成分股較少，且在結算區間前並未有異常現象，至結算區間資訊一次反映完全，使得其差異顯著。又在制度改變後，到期日與非到期日效率性的差異擴大，到期日相對更具效率。而期貨市場效率在最後交易日相對較差，這是由於接近到期日時平倉、轉倉行為可能會使得價格扭曲，造成市場不效率。

關鍵字

到期日效應 ； 市場效率性 ； 隨機性

並列摘要

We examine expiration-day effects of Taiwan Futures Exchange’s (TAIFEX) futures, including TX, TF and TE. And compare the difference between the market efficiency on the expiration day and the other days. To investigate whether the three index futures in the TAIFEX have any expiration effects in relation to the stock market. We compare the average returns, stock price volatility, the ratio of trading volumes and price reversals on expiration days with those for non-expiration day. In market efficiency part, we use the autocorrelation model to observe the random of returns. To compare the difference of market efficiency, we add dummy variables to the model.
The empirical results show that the effects of index derivatives in the TAIFEX are significant on the expiration day. The TSE finance sector index are more efficient during expiration day because the index totally reflect the information at a time. The difference between expiration day and non-expiration day are not significant about the other index, because the information doesn’t reflect at one time. In the futures market, the market are less efficient on the last trading day, because futures contract would be offset or rollover and that makes the price do not reflect completely the expectation for the trend of futures.

並列關鍵字

Expiration-day effects ； Market efficiency ； Random

參考文獻

2. Bachelier, L., 1990, Theorie de la speculation, Ann Sci. Ecole Norm. Sup. 17, 20-86.

3. Bollen, N. P. and Whaley, H. R., 1999, Do Expiration of Hang Seng Index Derivatives Affect Stock Market Volatility? , Pacific-Basin Finance Journal 7, 453-470.

4. Bae, S.C., Kwon, T.H. and Park, J.W., 2004, Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korea Index Futures Markets, The Journal of Futures Markets 24, 1195-1128.

6. Chamberlain, T. W., Cheung, S. C. and Kwan, C.C.Y., 1989, Expiration Day Effects of Index Futures and Options: Some Canadian Evidence, Financial Analysts Journal 45, 67-71.

7. Corredor, P., Lechon, P. and Santamaria, R., 2001, Option-Expiration Effects in Small Markets: The Spnaish Stock Exchange, Journal of Futures Markets 21, 905-928.