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系統識別號 U0002-0307201012320200
中文論文名稱 台股指數期貨到期效應之研究
英文論文名稱 The Study on the Expiration Effects of TAIEX Futures
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 林士弘
研究生英文姓名 Shih-Hung Lin
學號 797530101
學位類別 碩士
語文別 中文
口試日期 2010-06-26
論文頁數 61頁
口試委員 指導教授-林允永
委員-林景春
委員-林苑宜
委員-陳達新
中文關鍵字 台指期貨  摩根台指期貨  到期效應  結算 
英文關鍵字 TAIFEX Taiwan Stock Index Futures  SIMEX MSCI Taiwan StockIndex Futures  Expiration Effect  Settlement 
學科別分類
中文摘要 期貨合約因具有到期日的限制,而到期日必須以現貨結算,所以屆期貨到期日,現貨市場和期貨市場均會在報酬率和成交量及其波動率產生異常的狀況,此即為到期效應;到期效應是許多研究期貨和現貨中常見且重要的議題。
本研究旨在探討:台指期貨是否有到期效應,並找出影響到期效應的因素;外資在期貨及現貨市場上的操作情形;台指期貨結算制度的改變對期貨到期之報酬率是否產生影響,且是否亦是影響到期效應的主要因素?台指期貨在金融風暴發生後對到期之報酬率是否產生影響?並建立四個研究迴歸模型作為依據。
經實證分析結果,支持台指期貨存在到期效應,且台指期貨結算制度的改變及全球金融風暴的發生並未對期貨到期之報酬率產生影響。
英文摘要 The Futures contract is restrained by its expiration days and the settlements are also made on the expiration days. As a result, when the futures contract comes to near the expiration days, both the spot market and futures market will show abnormal rate of returns, trading volumes and price volatility rate. This phenomenon is referred as “expiration effect”, and it is a very critical issue shown in the studies for futures and spot markets frequently.
This study explores that if there is expiration effect of TAIFEX Taiwan Stock Index Futures. We also tried to find out the factors that influence the expiration effect. Will the activiries of foreign Investors in the futures and spot market have any impact on the rate of returns of the futures contract near expiration? Does the settlement system change in the TAIFEX Taiwan Stock Index Futures is the main factor affecting the expiration effect? Would there be any impact on the rate of returns for the futures expiration of the TAIFEX Taiwan Stock Index Futures after the Global Financial Crisis? We apply four research regression models to investigate the expiration effects on Taiwan futures market.
The empirical results support the existence of the expiration effect of Taiwan futures market. But the changes of settlement system in the Taiwan Futures market and the Global Financial Crisis have no siginificant effect.
論文目次 目 錄
第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 5
第四節 論文研究架構 6
第二章 文獻回顧 8
第一節 台指期貨與摩根台指期貨 8
第二節 影響到期效應因素之相關文獻 12
第三節 其他到期效應之相關研究 22
第三章 研究方法 26
第一節 資料來源 26
第二節 變數定義 29
第三節 實證模型 36
第四章 實證結果分析 41
第一節 敘述統計量 41
第二節 實證模型之結果分析 42
第五章 結 論 50
第一節 研究結論 50
第二節 研究限制與建議 53
參 考 文 獻 54
一、國外文獻 54
二、國內文獻 60

表目錄
【表2-1】台灣期貨交易所「台灣加權股價指數期貨契約」規格表 9
【表2-2】「台灣證券交易所股價指數期貨契約」修正前後之對照表 10
【表2-3】新加坡國際金融交易所「摩根台灣股價指數期貨契約」規格表 11
【表3-1】台指期貨之到期日及結算日明細表 27
【表3-2】摩根台指期貨之結算日明細表 28
【表4-1】期貨報酬率敘述統計表 41
【表4-2】模型I 台指期貨到期日與摩根台指期貨當日報酬率差之迴歸分析表 43
【表4-3】模型II 台指期貨到期日與非到期日平均報酬率差之迴歸分析表 45
【表4-4】模型III 台指期貨到期日與前一交易日報酬率差之迴歸分析表 47
【表4-5】模型IV 台指期貨到期日與後一交易日報酬率差之迴歸分析表 49

圖目錄
【圖1-1】論文研究架構圖 7

參考文獻 參 考 文 獻
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二、國內文獻
1.于士媛,(2003),期貨與選擇權到期效應之研究-以TAIFEX 股價指數期貨及指數選擇權為例,私立銘傳大學財務金融研究所碩士論文。
2.吳鎮宏,(2004),大額委託單對台股指數期貨最後結算價之影響,國立高雄第一科技大學金融營運系碩士論文。
3.李金英,(2006),買權賣權平價理論之套利研究--台指期貨與台指選擇權套利實證,中山大學財務管理學系研究所碩士論文。
4.林子傑,(2005),提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例,國立中央大學財務金融研究所碩士論文。
5.林啟明,(2000),國內期貨交易價量分析,台灣期貨市場期刊。
6.林世釗,(2003),臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究,國立台北大學企業管理研究所碩士論文。
7.林蒼祥,(2008),期交所股價指數期貨契約最後結算價與最後結算日決定方式之研究,未出版研究報告,台灣期貨交易所。
8.林榮裕,(2005),台灣股票指數期貨及摩根台指期貨到期效應之因素研究,朝陽科技大學財務金融學系碩士論文。
9.曲靜芳,(2009),到期日效應-台灣市場之實證,淡江大學財務金融學系博士論文。
10.洪舜華,(2002),摩根臺灣股價期貨指數到期效應對股票市場的影響,國立台北大學企業管理研究所碩士論文。
11.陳國民,(2004),指數期貨到期日之報酬反轉及波動效果日內效應之研究,淡江大學財務金融系碩士論文。
12.陳啟明,(2002),期貨結算對權值股之探討及期貨、現貨價格變動率對權值股之影響,淡江大學管理科學研究所碩士論文
13.蔡垂君,(2003),臺灣股價指數期貨與現貨之實證研究,國立台北大學企業管理學系博士論文。
14.闕河士與楊德源,(2005),「股價指數期貨到期日效應之實證: 以台灣股票市場為例」,則務金融學刊,第13卷(8月),頁71-96。
15.趙延楷,(2001),現貨指數報酬、基差走勢、未平倉合約數與外資交易行為之動態關聯探討,國立高雄第一科技大學財務管理研究所碩士論文。
16.鄭麗慧,(2001),外資介入對股市現貨市場與指數期貨市場關聯性的影響-以香港、馬來西亞、臺灣為例,國立中山大學財務金融研究所碩士論文。
17.賴彥宏,(2005),運用未平倉量至期貨技術分析之可行性,淡江大學財務金融學系碩士論文。
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