|題名: ||到期日效應 - 臺灣市場之實證|
|其他題名: ||Expiration-day effect - empirical evidence on Taiwan|
|作者: ||曲靜芳;Chi, Ching-fang|
|關鍵詞: ||到期日效應;價格反轉;指數套利;價格操縱;expiration-day effects;price reversals;index arbitrage;price manipulations|
|上傳時間: ||2010-01-11 00:52:51 (UTC+8)|
本論文的研究方法分為三階段：第一，採行Masulis (1980)的比較期間法(comparison-period approach，CPA)，分別測試指數和非指數投資組合在到期日時的成交量、價格波動及價格反轉的異常程度。第二，檢驗到期日效應對個別指數成份股的影響程度，觀察影響程度是否與指數權重大小有關。第三，檢測到期日效應的成因，先以迴歸模型分析指數套利反向沖銷活動與結算制度的改變對指數現貨價量異常表現的解釋程度，再透過CPA法比較各成份股縱斷面的到期日效應，探討價格操縱存在的可能性。
A number of studies on expiration-day effects have found that the behavior of spot trading volume and price is affected by expiration. Most of them focus on the index spot, but far less research investigates the effects on individual index stocks. In addition to the effects on MSCI-TW index spot, therefore, this research focuses on the behavior of individual stocks around the expiration period and the major factors inducing expiration-day effects.
To address above issues, a three-phase method of this study is designed: First, we use the comparison-period approach (CPA) as Masulis (1980) did, comparing the volume, return volatilities, and price reversals of index spot and non-index spot, to examine whether the expiration days lead to abnormal behavior in spot market. Second, this study evaluates the extent to which the expiration-days effects affect individual index stocks, and whether the extent is related with their daily weights. Third, we use the regression model to analyze the extent to which the abnormal behavior of the MSCI-TW index around expiration days can be explained by index arbitrage activities and the change of final settlement system. Since manipulators may have attempted to influence the final settlement index price by placing heavy pressure on the highest-weighted stock or few large-cap stocks, in order to benefit their futures positions. Hence, we examine the possibility of price manipulation from the different behavior of individual stocks on expiration days by CPA.
Three interesting findings emerged from the above process are presented as follows: First, the MSCI-TW index experience abnormally large volume, return volatility and price reversals only during the last 5-minute trading interval on expiration day, not all day long. The results show that the futures expiration days bring a substantial impact on Taiwan stock market, and verifies the existence of the expiration-day effect.
Second, the empirical results from the regression model suggest that the significantly abnormal volume effects could be explained by open interests of futures. However, the abnormal price effects have been much less correlated with futures basis and quarterly delivery months. It indicates that the unwinding of index arbitrage is not the only influential factor to the expiration-days effects. The study also finds that the closing call procedure fails to absorb the large order imbalance around expiration period, so it fails to mitigate the expiration-day effects.
Finally, the results of the effects on individual stocks show that in the last 5 minutes before expiration the average magnitude of price reversals of individual stocks are greater than this of index, which indicates price changes of MSCI-TW constituent stocks on expiration days are far from uniform. Although, regardless of their size, the abnormal volume is common to all index stocks, only the highest-weighted stock experiences both significant high volatility and price reversal effects. The disproportionate price effects on the highest-weighted stocks imply that price manipulators have attempts to affect the final settlement index price thus benefit their futures positions. Therefore, the price manipulation may also ascribe to the expiration-day effects in Taiwan.