指數期貨到期日效應：臺灣市場之進一步證據 (Expiration-Day Effects of Index Futures: Further Evidence from the Taiwan Market)

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Title:	指數期貨到期日效應：臺灣市場之進一步證據 (Expiration-Day Effects of Index Futures: Further Evidence from the Taiwan Market)
Other Titles:	Expiration-Day Effects of Index Futures: Further Evidence from the Taiwan Market
Authors:	顧廣平;蕭鈞耀 (Kuang-Ping Ku, Chun-Yao Hsiao)
Keywords:	到期日效應;指數期貨;結算機制
Date:	2018-04-15
Issue Date:	2018-06-21 12:11:49 (UTC+8)
Abstract:	本研究以拔靴複製法檢定近月小型臺指期貨與一週到期小型臺指期貨到期日效應。結果發現在小型臺指期貨最後結算日收盤前60分鐘，臺股指數存在異常之平均報酬、波動率以及成交量等效應。這些證據似乎顯示目前小型臺指期貨結算機制，即最後交易日收盤前30分鐘平均價，其無法減輕到期日效應。
Relation:	無
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Proceeding

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