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    題名: 臺灣期貨交易所股票期貨首次掛牌對於標的股票價格之影響
    其他題名: An influence of single stock futures that first time listed on the underlying stock price : evidence from the Taiwan securities market
    作者: 陳婉真;Chen, Wen-Chen
    貢獻者: 淡江大學財務金融學系碩士在職專班
    顧廣平;Ku, Kuang-Ping
    關鍵詞: 股票期貨;首次掛牌;股價報酬率;事件研究法;Single stock futures;First time listed;Price return;Event Study
    日期: 2016
    上傳時間: 2017-08-24 23:33:55 (UTC+8)
    摘要: 本研究期間為2010年1月25日至2014年12月31日止,以290家於臺灣期貨交易所首次掛牌股票期貨之標的股票為研究樣本,採用事件研究法探討事件發生前後標的股票是否存在異常報酬之情形。
    實證結果顯示:臺灣期貨交易所股票期貨首次掛牌對於標的股票會產生異常報酬。2010年臺灣首次推出34檔股票期貨,研究發現對其標的股票價格產生顯著負向的影響,顯示投資人未因事件發生而對現貨抱持樂觀看法,2014年則多在事件日之後有顯著正向的影響。另對上櫃股票影響較上市股票來的顯著,推測投資人認為上櫃公司在財務、業務上仍有較大的成長空間,因此對標的現貨價格持正面態度。產業別部份,以營建類影響最為明顯,其次為其他類,且均產生異常報酬顯著大於零的現象;而在金融類,僅於事件日前的交易日呈現一致顯著小於零的異常報酬;電子類則是不具統計上之顯著性。
    The period of this study is from January 25, 2010 to December 31, 2014, with the stocks of 290 companies whose stock futures were listed on the Taiwan Futures Exchange for the first time as the research sample. The study uses the event study method to explore whether there is an abnormal return to the underlying stock before and after the listing.
    The empirical results show that for the stock futures on the Taiwan Futures Exchange, there is an abnormal return of the underlying stock of the stock futures listed for the first time. In 2010 Taiwan launched the first 34 stock futures, and the study found that the listing generated a significant negative impact on the price of the underlying stock. This shows that investors do not hold an optimistic view toward the spot price because of the listing event. However, in 2014 most of the prices of the underlying stocks showed a significant positive impact after the event. In addition, the effect on OTC stocks is more significant than listed stocks, suggesting that investors believe that OTC listed companies have greater room for growth in their finance and business, so investors hold an optimistic view toward the spot prices of the underlying stocks. Industry-wise, the construction industry showed the most obvious effect, followed by the “other” industry, and all of them showed an abnormal return significantly larger than zero. An abnormal return significantly smaller than zero only appeared in the trading day before the event for the finance industry, and for the electronics industry the effect was a statistically insignificant.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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