本研究之目的台灣期貨市場是否存在到期日效應，並分別探討現貨和期貨市場在到期日與非到期日的效率性差異。以及市場效率與到期日效應之關連，此為先前到期日效應文獻所未著墨的部分，本研究針對此關連性加以探討。利用報酬率、波動度、價格反轉和交易量四種指標來到期日時，是否具有顯著異常現象。而在市場效率性方面，利用Fama(1965)一階自我相關模型為基礎測試出最適模型，由於需要比較在到期日與在非到期日報酬隨機性的差異，故將虛擬變數交叉項加入模型，藉此比較兩者效率性的差別。
實證結果發現，指數大多在到期日時有異常現象。而在現貨市場效率，發現台灣加權股價指數和電子指數在到期日與非到期日的市場效率性無顯著差異，而金融保險指數的則有顯著差異。這是由於前兩者的成分股較多，投資人行為對指數的影響力較低，資訊無法完全反應於指數上。又在結算前區間資訊已慢慢反應，表示其資訊未一次反映完全，而是部分反應，使得其差異不顯著。反之，金融保險指數成分股較少，且在結算區間前並未有異常現象，至結算區間資訊一次反映完全，使得其差異顯著。又在制度改變後，到期日與非到期日效率性的差異擴大，到期日相對更具效率。而期貨市場效率在最後交易日相對較差，這是由於接近到期日時平倉、轉倉行為可能會使得價格扭曲，造成市場不效率。

We examine expiration-day effects of Taiwan Futures Exchange’s (TAIFEX) futures, including TX, TF and TE. And compare the difference between the market efficiency on the expiration day and the other days. To investigate whether the three index futures in the TAIFEX have any expiration effects in relation to the stock market. We compare the average returns, stock price volatility, the ratio of trading volumes and price reversals on expiration days with those for non-expiration day. In market efficiency part, we use the autocorrelation model to observe the random of returns. To compare the difference of market efficiency, we add dummy variables to the model.
The empirical results show that the effects of index derivatives in the TAIFEX are significant on the expiration day. The TSE finance sector index are more efficient during expiration day because the index totally reflect the information at a time. The difference between expiration day and non-expiration day are not significant about the other index, because the information doesn’t reflect at one time. In the futures market, the market are less efficient on the last trading day, because futures contract would be offset or rollover and that makes the price do not reflect completely the expectation for the trend of futures.

謝辭………………………………………………………………………Ⅰ
中文摘要…………………………………………………………………Ⅱ
英文摘要…………………………………………………………………Ⅲ
目錄………………………………………………………………………Ⅳ
表目錄……………………………………………………………………Ⅴ
第一章	前言
第一節	研究動機與背景………………………………………………1
第二節	研究目的………………………………………………………5
第三節	研究架構………………………………………………………6
第四節	研究流程………………………………………………………7
第二章	文獻回顧
第一節	股價指數期貨簡介……………………………………………8
第二節	到期日效應文獻……………………………………………10
第三節	效率市場假說………………………………………………14
第四節	隨機漫步……………………………………………………16
第三章	研究方法
第一節	研究資料……………………………………………………19
第二節	變數定義與模型……………………………………………21
第四章	實證結果與分析
第一節	到期日效應的實證分析……………………………………29 
第二節	市場效率的實證結果………………………………………41
第五章	結論與建議
第一節	研究結論…………………………………………………53
第二節	對後續研究之建議…………………………………………57
參考文獻…………………………………………………………………58

表目錄
【表2-1】台股期貨(TX)、金融期貨(TF)和電子期貨(TE)契約規格表………9
【表3-1】期貨契約結算日………………………………………………………20
【表4-1】台股期貨(TX)到期日效應檢定結果-結算區間………………………31
【表4-2】金融期貨(TF)到期日效應檢定結果-結算區間…………………33
【表4-3】電子期貨(TE)到期日效應檢定結果-結算區間……………………34
【表4-4】台股期貨(TX)到期日效應檢定結果-結算區間前30分鐘區間……36
【表4-5】金融期貨(TF)到期日效應檢定結果 -結算區間前30分鐘區間…37
【表4-6】電子期貨(TE)到期日效應檢定結果-結算區間前30分鐘區間…38
【表4-7】到期日效應之檢定結果
         -新制度交易日隔日開盤15分鐘區間(09:00-09:15) ………40
【表4-8】台灣加權股價指數自我相關模型…………………………43
【表4-9】金融保險指數的自我相關模型…………………………47
【表4-10】新制度金融保險指數結算日自我相關模型………………48
【表4-11】電子指數的自我相關模型…………………………………50
【表4-12】期貨的自我相關模型……………………………………52

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