摩台期與台指期結算日對台積電股價之資訊內涵研究－以台灣早期期貨資料為例

The Information contents for Maturity Days of TIMEX and SIMEX to TSMC by Employing the Early Data of Taiwan Index Futures

倪衍森(Yen-Sen Ni) ； 吳曼華(Man-Hwa Wu) ； 李仁在(Jen-Tsai Lee)

《管理科學研究》 7卷2期 (2011/06) Pp. 33-48

https://doi.org/10.6873/MSR.201106_7(2).0002

摘要

本研究以摩台期與台指期之結算日對台積電股價之資訊內涵研究。經相關文獻探討發覺期貨方面的文獻甚少涉及個股與期貨關連性的文章；此外不少期貨實證研究方法上，都以時間數列之VAR, ECM, ARCH-family模型較為常見，反而事件研究法極少被應用於期貨方面的研究。而本研究動機乃是由於台灣期貨成立之初，正逢台股疲弱的時候，然而發現期貨市場反而異常活絡，在本文對摩台指和台指期與台積電之研究，有下列之重要的實證結果發現，此研究發現或許可推論：由於摩台指交割日在本土台指之後，當期貨弱於現貨，常伴隨者股市的下跌。在台指期結算日平倉前，台積電可能淪為外資壓盤的標的，使台積電較大盤疲弱，亦存有負的異常報酬之超跌的現象，然而交割日後股價應可回升，然摩台指結算日在台指期結算日之後，使台積電回到合理價位受到為確保摩台指空單獲利所牽制，造成台積電在台指期結算日後及摩台指結算日前大幅回漲恐怕不易。但由於壓抑過久，隨後台積電在摩台指交割日後，引動台積電的回漲，使之有正的異常報酬表現。若是運用本實證結果，當發覺期貨弱於現貨，在摩台指交割日後，買進台積電反而是可以考慮的投資策略。

關鍵字

異常報酬 ； 事件研究法 ； 結算日

並列摘要

This paper is to investigate whether information contents of TSMC. After surveying relative literatures, we find that few researches involve individual stocks and index futures. In addition, empirical studies related to futures are often employed VAR, ECM, and ARCH-family models. On the country, event study is seldom applied in the area of futures researches. Thus, the incentive of this study is to investigate TSMC, the heaviest-weighted stock, related to SIMEX (Taiwan Index Futures in SIMEX) and TIMEX (Taiwan Index Futures in TIMEX). Especially, Taiwan stock markets are quite weak with low trading volume while involving index futures into Taiwan capital markets, but the trading volume of index futures including SIMEX and TIMEX are traded quite actively. After inspecting the special phenomena, there are several important finding are explored and inferred as follows: Actually, the settlement day of SIMEX is behind TIMEX. While the index futures are weaker than index spots (F＜S), the AR(t)s and CAR(t)s are significant and negative before the settlement day of TIMEX, the AR(t)s and CAR(t)s are in significant before the settlement day of SIMEX and before the settlement day of TIMEX, and the AR(t)s and CAR(t)s are significant and positive after the settlement day of SIMEX. In order to infer the above results, we find the case of F＜S accompanied by the downward trend of Taiwan stock market. Under this situation, investors, foreign investment institutions often put index futures in the short positions before the settlement day. In order to make profits for their short position, they will sell TSMC regarded as a confidence symbol of Taiwan stock market to prevent the future index rising up. Actually, the price of TSMC is possible to go up after the settlement day of index futures, but the downward pressure is from preventing the index futures rising up due to short sale of index futures. It might be the reasons why AR(t)s and CAR(t)s are insignificant between TIMEX settlement day and SIMEX settlement days. However, the AR(t)s and CAR(t)s are significantly positive after the settlement day of SIMEX, since it is possible undervalued by the pressure of making profit by short sale of index futures.

並列關鍵字

Abnormal Returns ； Event Study ； Settlement Day