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

Unwindings and Rollovers of Stock Index Futures Arbitrage Strategy for Predicting Expiration-Day Effects:Some Empirical Evidence from the Taiwan Stock Market

林子傑(Tzu-Chieh Lin)

指導教授 ： 賴弘能

國立中央大學/管理學院/財務金融學系/碩士(2006年)

摘要

當期貨契約到期或接近最後結算價的決定時刻時,相較於其他的交易日,其標的現貨市場常會出現較高的報酬波動性,這就是所謂的-到期日效應。根據前人的研究,到期日效應的原因可能是由於套利者或操縱者的行為所導致。本論文以高頻率的交易資料來檢驗套利策略與台灣股票市場到期日效應的關係。實證結果發現考慮了動態套利策略之後,無論是臺股加權指數或是摩臺指數而言,皆沒有顯著的相關性。因此,套利行為可能並非造成到期日效應的主因。

關鍵字

到期日效應 ； 套利者 ； 操縱者 ； 動態策略

並列摘要

When a futures contract expires or near the time of settlement of price determination,the underlying spot market usually exhibits higher return volatility than other trading days, the so-called “expiration-day effects”. According to early studies, the expiration-day effects may result from the behaviors of index arbitrageurs or manipulators. This thesis examines the relationship between arbitrage strategy and expiration-day effects in the Taiwan stock market with high-frequency transaction data. Our empirical findings indicate that after taking dynamic strategies into consideration, there is no significant relationship between the spot and futures for TAIEX or MSCI Taiwan IndexSM. Therefore, the behaviors of arbitrageurs may be not major causes of expiration-day effects.

並列關鍵字

Expiration-Day Effects ； Dynamic Strategies ； Manipulators ； Arbitrageurs

參考文獻

Chueh, H. and D. Y. Yang (2005), “Expiration-Day Effects of Index Futures: Some Empirical Evidence from Taiwan Stock Market”, Journal of Financial Studies, 13(2), 71–95.

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Chow, Y. F., H. M. Yung, and H. Zhang (2003), “Expiration Day Effects: The Case of Hong Kong”, The Journal of Futures Markets, 23(1), 67–86.

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