到期日效應認為在期貨到期時，會令現貨市場與期貨具有成交量放大、價格波動提高以及價格反轉的現象。本文擬以此結論之一的價格反轉作為探討對象，研究當價格反轉確實成立的情況下，會不會構成投資人一個投資明燈。由於價格變動的方向確立了，即報酬率正負號明確，將會使的投資人決定該買入還是買出，這也讓不確定性居多的期貨市場顯露出一個投資契機。本文茲以接近台灣市場的MSCI摩根台灣股價指數來當作研究標的，探研在摩根台股上，到期日與翌日是否存在一定的關係，而投資人是否能透過此關係，當作投資資訊，從而在期貨市場中獲利。 Expiration-Day Effect thought that in the futures expiration day, the spot market and futures market will have larger volumes, price volatility increased and the price reversal phenomenon. This essay is to discuss the price interval, researching that when the price reversal occurs, it can be used as an indicator for making investment decisions. As the price reversal is assured, investors can decide to buy in or buy out. This gives us an opportunity to assess whether to invest the futures or not. This essay discusses MSCI Taiwan index Futures, as our object of study. The study focuses on the relationship between the expiration day and the following day and whether the investors can use this relationship as information to get profit from future market.
