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    Title: 結算制度與指數期貨到期日效應
    Other Titles: The settlement procedure and expiration-day effects of index futures
    Authors: 柯佳妮;Ke, Chia-Ni
    Contributors: 淡江大學財務金融學系碩士班
    顧廣平;Ku, Kuang-Ping
    Keywords: 到期日效應;指數期貨;拔靴複製法;expiration-day effects;Index Futures;Bootstrap
    Date: 2011
    Issue Date: 2011-12-28 17:35:18 (UTC+8)
    Abstract: 本研究以拔靴複製法檢驗台灣期貨交易所的台股期貨之到期日效應,探討改變最後結算方式之前後,是否對現貨市場在期貨結算時所產生的到期日效應有顯著的差異。實證結果分析發現台股期貨最後結算日之現貨指數在舊制結算制度下,台股指數存在異常之平均報酬率、波動率及成交量等效應。而在最後結算制度由開盤15 分鐘加權平均價更改為收盤前30分鐘加權平均價之後,其現貨指數之報酬波動率與成交量依然有到期日效應,且存在顯著異常之價格反轉現象,即意謂著台股期貨延長最後結算價之計價時間,並無法緩和到期日效應的發生。
    此外,電子期貨的實證結果與台股期貨一致,特別的是金融期貨相較於結算制度改變前有緩和的現象。原因可能是金融指數的權值股占權重比例相當高,投機者因為結算時間的延長,而降低操作權值股的意願,因而能減輕金融期貨的到期日效應。
    This paper applies the bootstrap method to test the expiration-day effects of TAIFEX TAIEX futures (TX) after change the settlement system. I find the existence of abnormal mean return, volatility and trading volume effects on the TAIEX index before the settlement system change. In addition, also find the price reversal effects becoming much more significant after the TX settles at the average price 30 min before closing. which settles at the average price 30 min before closing on the last trading day, can not mitigate expiration-day effects.
    In addition, the Electronic sector index futures (TE) confirmation result is consistent with TX, specially Finance sector index futures (TF) quite compares before the settlement system change has relaxes the phenomenon. The reason possibly is the financial index weight stock accounts for the weight proportion to be quite high, because investor settlement time extension, therefore reduces the operation weight stock the wish, therefore can reduce expiration-day effects of the Finance sector index futures.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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