- 學位論文
臺灣加權股價指數期貨與選擇權到期效應之研究
THE STUDY ON EXPIRATION EFFECTS OF TAIWAN STOCK INDEX FUTURES AND OPTIONS
摘要
本論文旨在探討1998年7月21日至2007年12月31日臺灣加權股價指數期貨及選擇權到期時，在排除星期交易日的影響下，台灣加權股價指數現貨是否有到期效應以及2001年11月結算制度的改變對到期效應的影響。同時探討結算制度改變後臺灣加權股價指數在排除到期效應的影響下是否還存在星期效應。實證結果分析如下: 一、到期效應方面 (一) 臺指現貨在報酬率無顯著到期效應，即到期日前無超額報酬現 象。到期日當天報酬波動性顯著增加，到期日前及結算日當日 報酬率波動性顯著減少。 (二) 臺指在結算日當天有最高價及最低價波動顯著增加的異常現 象，但波動幅度降低。到期日前四日有最高價及最低價波動度 顯著增加的現象，可能原因為預期有到期效應，投機者一個 星期前左右即進場佈局作價。 (三) 臺指在結算日當天成交量顯著增加；到期日當天成交量波動性 顯著增加，結算日當天成交量波動性顯著降低。 (四) 就目前的結算制度而言，臺指現貨在到期日收盤至結算日開盤 後15分鐘與結算日開盤後15分鐘至結算日收盤這段區間報酬存 在價格反轉現象。 目前臺灣的結算制度是以到期日的次一日的結算日的開盤後15分鐘的報價平均數作為最後的結算價，受結算制度的影響，到期效應延伸至結算日。在排除星期效應干擾因素下，發現結算日當天臺指在極端值最高價及最低價價格波動度有顯著的到期效應，投機操縱結算價格的現象非常明顯。顯示十五分鐘的結算時間仍然太短，投機者可能會操縱市場活動，建議主管機關延長結算時間。 二、結算制度改變方面 結算機制的改變，到期效應在報酬波動性、極端值價格波動度及其條件變異數有減緩的現象，但在報酬率及成交量有加重到期效應現象；結算日的極端值價格波動度有更顯著的到期效應。 三、星期效應方面 臺指現貨報酬率無星期效應，星期一僅交易量有顯著一週之最低，同時報酬率波動性顯著為一週最高的現象。星期一效應僅存在交易量及報酬率波動性方面。
並列摘要
To test the expiration effects of Taiwan stock index futures and options, we examine the underlying stock market from July 12, 1998 to Dec. 31, 2007. This paper first investigates the expiration effects of Taiwan stock index futures and options. Then we examine the influence on the expiration effect after the new settlement procedure executed on Nov. 2001. Finally, this paper tests whether the day-of-the-week effect on Taiwan stock index. The empirical results show as follows: First, this study finds no significant abnormal return for Taiwan stock index on the expiration day. In regards to abnormal return volatility and abnormal volume volatility, they are significant on expiration day. Regarding to abnormal extreme values and abnormal volume, they are significant on settlement day. As for price reversal, the significance price reversal phenomenon occurs in the return on the closing quotation of expiration day to the 15 minutes after the opening quotation of next day and the return on the 15 minutes after the opening quotation to the closing quotation of settlement day. The expiration effect seems to extend to the opening period of the settlement day. We recommend that Taiwan Futures Exchange extend the settlement period to reduce the control or influence over the settlement price of speculators. Second, we find the evidence of the expiration effects have mitigated on return volatility and extreme values, however have aggravated on return and volume after the settlement procedure changed. In particular, the empirical test shows stronger significance on extreme values on settlement day. Third, our empirical result finds no significant evidence of the day-of-the-week effect on Taiwan stock index. On Monday, it has smaller trading volume and larger return volatility than the other exchange day.