指數期貨到期日效應對個股之影響

The Expiration-Day Effects of Stock Index Futures on Individual Stocks

詹佳峯(Chia-Feng Chan)

指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00754

摘要

本論文主要探討台灣地區指數期貨最後結算日時，現貨市場中指數與個別股票是否會有異常報酬率、波動率、成交量及價格反轉等到期日效應存在市場之中，實證過程採用拔靴複製(Bootstrap)檢定方法。
　　首先針對指數到期日效應探討，分別驗證台股期貨及摩台指期貨在期貨到期時是否存在到期日效應，接續探討其30檔主要成份股是否會受到台股期貨及摩台指期貨到期日影響，最後將比較兩種不同的指數期貨最後結算方式是否會對其成份股有不同的影響。
　　根據結果，本研究最後獲得以下結論：(一)台股期貨及摩台指期貨存在到期日效應；(二)台股期貨最後結算時，部分成份股存在到期日效應；(三)摩台指期貨最後結算時，成份股存在較顯著到期日效應；(四)平均價最後結算機制優於最後收盤價最後結算方式。

關鍵字

到期日效應 ； 拔靴法 ； 指數期貨 ； 最後結算機制

並列摘要

The purpose of this thesis is to examine the influence of expiration day on index futures in Taiwan, the spot index and index constituent stock whether to have the abnormal return, volatility, trading volume, price reversal. This paper applies the bootstrap method to test the expiration-day effects.
　First, we discuss the expiration-date effects on index futures and discover if it shows up that between TAIFEX TAIEX futures (TX) and SGX MSCI Taiwan Index Futures (TW) to prove the existence of the expiration-date effects on 30 index constituent stocks. Eventually, we compare two different final settlement procedures with each other in order to find out if there are different influences on its constituent stocks.
　According to the results of our empirical study, the conclusions are as following：
(1) The expiration-day effects exists in TAIFEX TAIEX futures (TX) and SGX MSCI Taiwan Index Futures (TW); (2) When TX final settlement, parts of index constituent stocks exist the expiration-day effects; (3) When TW, index constituent stocks exist conspicuous the expiration-day effects; (4) Average price final settlement procedure is better than the closing price final settlement procedure.

並列關鍵字

Expiration-Day Effects ； Bootstrap ； Index Futures ； Final Settlement Procedure

參考文獻

許美滿(2006)，衍生性市場創新、交易機制與隱含波動，淡江大學財務金融學系博士論文

吳孟憲(2003)，選擇權到期效果之研究─以台灣市場為例，臺灣大學國際企業學研究所碩士論文

林子傑(2005)，提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例，國立中央大學財務金融研究所碩士論文

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