本文根據Jones and Shemesh (2018)的研究，將樣本分為交易時期與一日、兩日及三日以上之非交易日時期等四組資料，透過觀察台灣加權股價指數報酬率來觀察交易與非交易時期之報酬率的變化。進一步運用台指期貨為避險商品，並比較有否避險情況下，不同觀察時期的報酬率是否有所差異。由於許多現貨投資者常以選擇權商品的波動來衡量市場風險，因此本文採以台指選擇權的隱含波動率視為風險值，以觀察台股市場的報酬率是否與風險值具有理論上的抵換關係。
    實證結果發現，台灣加權股價指數於非交易期間在風險值較低的時候報酬率也容易有異常波動，不具有正常的風險及報酬抵換關係。以台指期貨避險後，可發現風險值較低的時期報酬率較不會有異常的波動，而風險值較高的時期報酬率依然有機會獲得較高的報酬率。
    因此本研究的結論表示，一般情況下台灣加權股價指數在非交易期間不具有風險與報酬的抵換關係，但若經台指期貨進行避險後，投資人可在非交易期間重新得到正常的風險及報酬抵換關係。

Based on the research of Jones and Shemesh (2018), the paper divides the sample into four groups of data: trading period and nontrading day period of one day, two days and more than three days, and observes the transaction and nontrading by observing the return rate of Taiwan’s weighted stock price index. Changes in the rate of return during the trading period. Further use Taiwan index futures as a safe-haven commodity, and compare whether there is a safe-haven situation, whether the returns in different observation periods are different. Since many spot investors often measure market risk by the volatility of option commodities, this article uses the implicit volatility of the Taiwan Index option as the risk value to observes the exchange relationship of the return rate and the risk value.
	The empirical evidence shows that during the non-trading period, the weighted stock price index in Taiwan is also prone to abnormal fluctuations in the return rate when the risk value is low, and does not have the normal risk and reward exchange relationship. After avoiding risks with the Taiwan Index futures, it can be found that the return rate during periods of low risk value is less likely to have abnormal fluctuations, while the return rate during periods of higher risk value still has the opportunity to obtain a higher return rate.
	Therefore, the conclusion of this study shows that under normal circumstances, the weighted stock price index in Taiwan does not have a trade-off relationship between risk and reward during nontrading periods, but if hedging through the index futures, investors can have the normal risk and reward exchange relationship during nontrading periods.

目　錄
表　目　錄	V
圖　目　錄	VII
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	3
第三節	研究架構與流程	4
第二章	文獻回顧	5
第一節	風險與報酬的抵換關係	5
第二節	交易日與非交易日的定義及現貨相關驗證	5
第三節	非交易日的衍生性金融商品相關驗證	8
第三章	研究方法	15
第一節	研究資料來源	15
第二節	衍生性金融商品的資料篩選規則	15
第三節	研究變數定義及衡量	19
第四章	實證結果與分析	24
第一節	報酬率與風險的基本統計量	24
第二節	實證圖表	29
第五章	結論	33
參考文獻	35

表　目　錄
表3.1  台灣加權指數現貨資料	16
表3.2  選擇權價量分類表	18
表3.3  選擇權價量分類表	22
表4.1  無避險現貨報酬率	24
表4.2  有避險現貨報酬率	25
表4.3  總隱含波動率	26
表4.4  買權隱含波動率	26
表4.5  賣權隱含波動率	27
表4.6  報酬與風險	28

圖　目　錄
圖1.1研究流程圖	4
圖4.2無避險及避險一般交易日之報酬率比較	29
圖4.2無避險及避險一日非交易日之報酬率比較	30
圖4.3無避險及避險二日非交易日之報酬率比較	31
圖4.4無避險及避險三日以上非交易日之報酬率比較	32

附　錄
附圖1一般交易日買權隱含波動率	37
附圖2一般交易日賣權隱含波動率	37
附圖3放假一日買權隱含波動率	37
附圖4放假一日賣權隱含波動率	38
附圖5放假二日買權隱含波動率	38
附圖6放假二日賣權隱含波動率	38
附圖7放假三日以上買權隱含波動率	39
附圖8放假三日以上賣權隱含波動率	39

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