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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93781

    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。
    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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