台指期貨與摩台指期貨到期日效應日內資料之研究

Expiration Effect of Taiwan Index Futures and MSCI Taiwan Futures – an Intraday Study

江文嘉(Wen-Chia Chiang)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00720

摘要

本文根據Chow, Haynes & Zhang (2003)之t-test與F-test檢定方法，與Stoll & Whaley (1987)之報酬反轉模型，探討台指期貨與摩台指期貨到期對現貨價格變化之各種影響及產生之現象。

　　本研究獲得幾項重要的結論如下所示：
1.　就整體市場而言，台指期與摩台指期到期時皆會有異常的平均報酬產生，但並非發生在到期日當天，而是在到期前二天即已有異常的平均報酬產生。且在到期期間台指期與摩台指期也都會對現貨價格產生向下的壓力。

2.　台指期貨到期時會使現貨市場在到期前二天即產生價格反轉的現象，且本沒有的價格反轉現象是因台灣期交所改變最後結算價的計算方式而產生；而摩台指期貨在三個到期期間則都沒有顯著的價格反轉現象產生。

3.　台指期貨與摩台指期貨之個別合約價格波動性之檢測，在到期前二天就已有合約有異常的價格波動性，且很少有合約會在到期日、到期前一日及到期前二日都有顯著的價格波動產生；此外也不會整個交易日都有價格的異常波動性產生，而是可能集中發生在開盤頭一小時或是收盤前一小時而已。

關鍵字

到期效應 ； 價格反轉

並列摘要

This paper analyzes the impacts of the maturity of Taiwan Index Futures and MSCI Taiwan Futures to the spot prices. The statistic method used here are t-test and F-test, which are also used by Chow, Haynes & Zhang (2003). In addition, price reversal model introduced by Stoll & Whaley (1987) is used to observe the impacts.
Important findings are summarized as follows:
1. There are abnormal returns for both Taiwan Index Futures contracts and MSCI Taiwan Futures two days prior to the maturity but not on the expiration day. Also, both index futures put downward press on the spot prices at maturity of the contracts.
2. Price reversal occurs on the spot market two days prior to he expiration of Taiwan Index Futures. We find the significant reversal effect after the exchange alters the rule for determining settlement price. But no significant price-reversed occurs during the three-day expiration period of MSCI Taiwan index futures.
3. When focusing on the price volatility of individual contract, some contracts show extraordinary volatility two days prior to the maturity. However, abnormal variation mostly occurs in the first hour of the opening or the last hour of the closing surrounding contract expiration. Abnormal variation does not span the entire two-day range of expiration period.

並列關鍵字

expiration effect ； price reversal

參考文獻

1. Anderson, R. W. (1985), “Some determinants of the volatility of futures prices,”

2. Bollen, B. and Moosa, I. A. (2001), “Is there a maturity effect in the price of the S&P 500 futures contract?” Applied Economics Letters, PP.693-695.

3. Bollen, N. and Whaley, R. E. (1999), “Do expirations of Hang Seng Index derivatives affect stock market volatility?” Pacific-Basin Finance Journal, Vol.7, PP.453-470.

4. 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, Vol. 45, No.5, PP.67-71.

5. Chamberlain T. W. (1989), “Maturity Effects in Futures Markets: Some Evidence from the City of London,” Scottish Journal of Political Economy, Vol.36, No.1, PP.90-95.