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中文論文名稱 臺灣指數期貨最後結算價制度到期日效應之探討
英文論文名稱 A review on the expiration date effect of the final settlement price system for 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 108
學期 2
出版年 109
研究生中文姓名 黃公正
研究生英文姓名 Kung-Cheng Huang
學號 707530332
學位類別 碩士
語文別 中文
口試日期 2020-06-30
論文頁數 48頁
口試委員 指導教授-林蒼祥
指導教授-蔡蒔銓
委員-吳再益
委員-李永隆
委員-林蒼祥
中文關鍵字 最後結算價  到期日效應  拔靴複製法 
英文關鍵字 final settlement price  expiration date effect  Bootstrap 
學科別分類
中文摘要 臺灣指數期貨最後結算價制度多次變革,最近一次變革為依照Lin et al. (2008)所提出臺灣期貨交易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專題計畫報告之建議,於2008年12月實施最後結算制度新制,實施至今已有數年,本研究採用拔靴複製檢驗法,討探實施新制後,是否如Lin et al. (2008)研究計畫之結論具有:一、減緩到期日效應,二、降低有心人士操作結算價的可能性,三、盤中資訊透明,最後結算價易驗證的效果。
實證結果顯示,最後結算新制有達到Lin et al. (2008)研究計畫之結論的三項優點。
英文摘要 The final settlement price system decision have change several times, Lin et al. (2008) put forward the stock exchange stock index futures contract final settlement price and final settlement date decision mode of the thematic research plan report, in December 2008 to implement the final settlement system of the new system, has been implemented for several years. This study uses bootstrap test method to explore After discussing the implementation of the new system, whether the conclusions of Lin et al. (2008) are as follows: 1. Ease off Expiration-day effect, 2. Reduce the possibility of intentional persons operating final settlement price, 3. Intraday information is transparent, and final settlement price is easy to verify.
The empirical results show that the new final settlement system has three advantages that reach the conclusion of Lin et al. (2008) research plan.
論文目次 目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻探討 7
第一節 臺灣期貨交易所股價指數期貨最後結算價決定方式變革 7
第二節 到期日效應現象 10
第三節 期貨之最後結算價的機制影響 15
第四節 影響最後結算價之因素 20
第三章 研究方法 22
第一節 樣本資料概述 22
第二節 資料來源與處理 25
第三節 變數定義 28
第四節 檢定假設與方法 31
第四章 實證結果與分析 34
第一節 最後結算價舊制敘述統計及到期日效應顯著性分析 34
第二節 最後結算價新制敘述統計及到期日效應顯著性分析 37
第三節 最後結算制度新制與舊制到期日效應之比較 41
第五章 結論與建議 43
參考文獻 46

表目錄
【表2 1】臺灣期貨交易所股價指數期貨最後結算價決定方式變革 9
【表3 1】2006年至2010年各項商品年成交量統計表 23
【表3 2】台股期貨與小型台指期貨契約之規格 23
【表3 3】2006年12月至2008年11月之最後結算日一覽表 26
【表3 4】2008年12月至2010年11月之最後結算日一覽表 26
【表4- 1】舊制各區間平均報酬之敘述統計及顯著性表 35
【表4- 2】舊制各區間報酬波動率之敘述統計及顯著性表 35
【表4- 3】舊制各區間成交量敘述統計及顯著性表 36
【表4- 4】舊制各區間成交值敘述統計及顯著性表 36
【表4- 5】舊制各區間價格反轉之敘述統計與顯著性表 37
【表4- 6】新制報酬率敘述統計與顯著性表 38
【表4- 7】新制報酬波動率敘述統計與顯著性表 39
【表4- 8】新制成交量敘述統計與顯著性表 39
【表4- 9】新制成交值敘述統計與顯著性表 40
【表4- 10】新制價格反轉敘述統計與顯著性表 40
圖目錄
【圖 1 1】研究流程圖 6


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