- 學位論文
台灣股票期貨到期前異常報酬及波動度不對稱之研究
THE ABNORMAL RETURN AND VOLATILITY ASYMMETRIC BEFORE EXPIRATION IN TAIWAN SINGLE-STOCK FUTURES
摘要
全球期貨及其他衍生性商品市場日益蓬勃發展，而股票期貨堪稱是1982 年股價指 數期貨推出之後，股權類衍生性商品的另一項明星商品。美國國會「兩千年商品期貨 現代化法案」（Commodity Futures Modernization Act of 2000, CFMA）對於股票期貨發 行的解禁後才逐具規模。由於股票期貨具有成本低廉、操作靈活及更具效率之特性， 已成為開發中國家交易所之明星商品。而到期效應是指期貨與選擇權到期結算的時刻 對其現貨標的之衝擊，造成現貨市場價格、波動、與交易量異常的現象，而這些異常 的現象，是全球主要金融市場投資人及監理單位熱切關注的重要議題。 過去對於到期效應的研究當中多為指數期貨的到期效應，研究重心也著重於美國 市場，本研究蒐集了台灣期貨交易所三檔股票期貨資料（台積電、鴻海、聯發科），資 料期間為2010 年六月到2012 年十月的日資料，共29 個到期日，引入EGARCH 模型， 並設計虛擬變數，檢視在到期前五天，股票現貨報酬率、股票期貨報酬率、期貨及現 貨的交易口數和成交值以及基差是否有異常的變異及波動不對稱情形。更進一步地， 本研究設計未平倉量和到期日的交互作用虛擬變數檢視以上變數是否存在到期效應。 研究果顯示，台積電及聯發科之各變數均有顯著異常報酬及波動不對稱之情形， 相對之下，鴻海的到期效應則不太明顯。而未平倉量為一到期效應之重要門檻。
並列摘要
Global futures and other derivatives market has bloomed in recent years. Single stock futures is another golden cow of equity derivatives since the index futures established in 1982. Single stock futures have reached scale since the U.S congress imposed Commodity Futures Modernization Act of 2000 and lift a ban of single stock futures. Because of the characteristic of low cost, easy to long or short and more efficiency, it has become a popular financial product in the exchange of emerging market. The expiration effect is the impact to abnormal spot market price, volatility and trading volume due to its futures and options expire on settlement day. And these abnormal phenomenon is an important issue focused by global financial market investors and regulation department. Former researches on expiration effect mostly focus on index futures in U.S market but single stock futures. This research we collect three of single stock futures trading in the Taiwan Futures Exchange. The daily data we use is during 2010 June to 2012 October, 29 expiration day as total. We induct EGARCH model and design dummy variables in order to investigate whether there exist abnormal return and volatility asymmetric. Furthermore, we design a interactive effect dummy variable between open interest and the due date to see whether there exist expiration effect. The empirical result show that does exist significant volatility asymmetric in expiration day or before expiration day.