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    Title: 除權息對股票期貨交易量之影響
    Other Titles: Study of the influence of single stock futures trading volumes by underlying stocks of ex-dividend
    Authors: 楊穆郁;Yang, Mu-Yu
    Contributors: 淡江大學財務金融學系碩士在職專班
    林蒼祥;Lin, William T.
    Keywords: 股票期貨;除權息;租稅效果假說;短線交易假說;SSFs;ex-dividend;underlying stocks;Ordinary least squares
    Date: 2013
    Issue Date: 2014-01-23 13:31:10 (UTC+8)
    Abstract: 本文之研究目的,是為瞭解股票期貨上市前3年(台灣推出股票期貨才3.5年時間),每年在標的證券除權息交易季節時,交易量能都明顯擴增的影響原因為何?研究樣本,2010年為除權息季節前先後上市的34+6檔股票期貨,2011、2012年兩年則均為台灣50成分股之股票期貨。
      研究方法參著國內、外學者過去研究現貨除權息對股票交易量變化的方法、模式,引用來探討現貨除權息對股票期貨交易量變化的影響,實證結果顯示租稅效果假說、短線交易假說,在標的證券除權息時,也會對股票期貨交易量造成影響。
      研究發現,標的證券之股利水準、股東扣抵稅額比率,兩者會對股票期貨交易量造成影響,符合租稅效果假說;另外,標的證券上市公司之營收,對除權息期間之股票期貨交易量沒有影響,但標的證券之周轉率,則會對股票期貨交易量產生影響,這一點則符合短線交易假說。
      另外,以除權息前後1、3、5天不同時間組合做研究,顯示除權息前3天到後1天、除權息前1天到後3天、除權息前後3天、除權息前1天到後5天、除權息前3天到後5天等5種前後日期組合異常量顯著;其餘的時間組合則不顯著。研判除了租稅效果假說、短線交易假說的效應之外,因為台股有除權息前5交易日暫停融券賣出、除權息前3交易日暫停融資買進的規定,前3日起暫停融券賣出和暫停融資買進兩者重疊,融資融券交易同受限制,不排除有些投資人傾向轉而利用股票期貨來替代信用交易,是以標的證券除權息,股票期貨也會有「信用交易替代效果」。
    The purpose of this study is to understand what factors contribute to the increased trading volume of stock futures in the last three years during the seasons of ex-dividend in securities market (single stock futures were launched three and half years ago). The study’s sample includes 34 plus 6 stock futures listed before and after the seasons of stock ex-dividend in 2010, stock futures with underlying component stocks of Taiwan 50 in 2011 and 2012.
      The study’s method refers to the previous studies about the effect of ex-dividend on the change of stock trading volume by domestic and overseas scholars. Their research methods and models were used in this research to study the effect of ex-dividend of stocks on the change of trading volume of stock futures. The empirical result indicates that the taxation and short-term trading exercise effect on the change of stock futures trading during the stock ex-dividend and ex-right seasons.
      Besides, using three different date combinations, including one, three and five days before and after the ex-dividend , we find that trading volume becomes unusual particularly when three days before ex-dividend to one day after ex-dividend , one day before ex-dividend to three days after ex-dividend , three days before and after ex-dividend, one day before ex-dividend to five days after ex-dividend , three days before ex-dividend to five days after ex-dividend . The rest dates are not obvious. Because short sales in securities market are suspended five trading days before ex-dividend as well transactions in financing are suspended three trading days before ex-dividend , there will be then three days overlapped for suspension of both stock loans and financing. So are margin trading. Some investors would thus trade stock futures instead of margin trading. We conclude that trading in stock futures has substitute effects for margin trading.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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