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系統識別號 U0002-1706200900151800
中文論文名稱 到期日效應-台灣市場之實證
英文論文名稱 Expiration-Day Effect--Empirical Evidence on Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 曲靜芳
研究生英文姓名 Ching-Fang Chi
學號 891490012
學位類別 博士
語文別 中文
口試日期 2009-05-29
論文頁數 66頁
口試委員 指導教授-謝文良
共同指導教授-林允永
委員-李進生
委員-謝文良
委員-邱忠榮
委員-陳達新
委員-陳玉瓏
中文關鍵字 到期日效應  價格反轉  指數套利  價格操縱 
英文關鍵字 expiration-day effects  price reversals  index arbitrage  price manipulations 
學科別分類 學科別社會科學商學
中文摘要 多數研究到期日效應的學者指出,衍生性金融商品的到期日對其現貨市場的價量行為會產生影響,但是大部分的文獻僅針對指數現貨本身作探討,鮮少分析指數成份個股的部分,因此本文除了探究摩根台指現貨之外,還深入研究其成份股的到期日效應,以及形成該效應的可能因素。
本論文的研究方法分為三階段:第一,採行Masulis (1980)的比較期間法(comparison-period approach,CPA),分別測試指數和非指數投資組合在到期日時的成交量、價格波動及價格反轉的異常程度。第二,檢驗到期日效應對個別指數成份股的影響程度,觀察影響程度是否與指數權重大小有關。第三,檢測到期日效應的成因,先以迴歸模型分析指數套利反向沖銷活動與結算制度的改變對指數現貨價量異常表現的解釋程度,再透過CPA法比較各成份股縱斷面的到期日效應,探討價格操縱存在的可能性。
此研究過程產生三項有趣的結果,分述如下:首先,摩根台指現貨在該期貨契約到期時,呈現成交量異常放大、報酬波動增加,以及價格反轉的現象,且都僅集中發生於收盤前五分鐘,而非全日其他任何時段。從指數現貨角度觀察,顯示台灣市場顯著受到摩台指期貨到期日的影響,也驗證業界經常盛傳的『結算行情』確實存在。
其次,由檢定響影到期日效應強度的迴歸結果發現,期貨未平倉量能夠顯著詮釋指數異常成交量的消長,但基差、季月契約兩自變數與指數的價格效果的關聯性較不顯著,這表示頻繁的指數套利平倉活動並未是產生摩台指到期日效應的唯一因素。而且改以收盤前五分鐘集合競價來決定期貨最後結算價的結算制度,並未顯著降低到期日效應,表示集合競價吸納買賣單失衡的作用有限。
最後,從成份個股在到期日的表現發現,在收盤前五分鐘,個股平均的價格反轉幅度在多數報酬配對組中都大於指數的價格反轉幅度,顯示成份股價格的變動方向是不一致的。而且不論權值大小,所有成份股皆呈現成交量放大,但只有對指數最具影響力的最高權值成份股具有顯著異常高的報酬波動和價格反轉現象。到期日對成份股產生明顯不同的價格衝擊,表示價格操縱者極有可能運用集中交易最高權值成份股,企圖影響指數收盤價格,以利先前建立的部位獲利,因此台灣市場的到期日效應可能也源自價格操縱。
英文摘要 A number of studies on expiration-day effects have found that the behavior of spot trading volume and price is affected by expiration. Most of them focus on the index spot, but far less research investigates the effects on individual index stocks. In addition to the effects on MSCI-TW index spot, therefore, this research focuses on the behavior of individual stocks around the expiration period and the major factors inducing expiration-day effects.
To address above issues, a three-phase method of this study is designed: First, we use the comparison-period approach (CPA) as Masulis (1980) did, comparing the volume, return volatilities, and price reversals of index spot and non-index spot, to examine whether the expiration days lead to abnormal behavior in spot market. Second, this study evaluates the extent to which the expiration-days effects affect individual index stocks, and whether the extent is related with their daily weights. Third, we use the regression model to analyze the extent to which the abnormal behavior of the MSCI-TW index around expiration days can be explained by index arbitrage activities and the change of final settlement system. Since manipulators may have attempted to influence the final settlement index price by placing heavy pressure on the highest-weighted stock or few large-cap stocks, in order to benefit their futures positions. Hence, we examine the possibility of price manipulation from the different behavior of individual stocks on expiration days by CPA.
Three interesting findings emerged from the above process are presented as follows: First, the MSCI-TW index experience abnormally large volume, return volatility and price reversals only during the last 5-minute trading interval on expiration day, not all day long. The results show that the futures expiration days bring a substantial impact on Taiwan stock market, and verifies the existence of the expiration-day effect.
Second, the empirical results from the regression model suggest that the significantly abnormal volume effects could be explained by open interests of futures. However, the abnormal price effects have been much less correlated with futures basis and quarterly delivery months. It indicates that the unwinding of index arbitrage is not the only influential factor to the expiration-days effects. The study also finds that the closing call procedure fails to absorb the large order imbalance around expiration period, so it fails to mitigate the expiration-day effects.
Finally, the results of the effects on individual stocks show that in the last 5 minutes before expiration the average magnitude of price reversals of individual stocks are greater than this of index, which indicates price changes of MSCI-TW constituent stocks on expiration days are far from uniform. Although, regardless of their size, the abnormal volume is common to all index stocks, only the highest-weighted stock experiences both significant high volatility and price reversal effects. The disproportionate price effects on the highest-weighted stocks imply that price manipulators have attempts to affect the final settlement index price thus benefit their futures positions. Therefore, the price manipulation may also ascribe to the expiration-day effects in Taiwan.
論文目次 第一章 緒論..........................................1
第一節 研究背景與利基..............................1
第二節 研究目的與問題..............................2
第二章 文獻回顧與探討................................5
第一節 到期日效應的實證結果........................5
第二節 到期日效應的成因............................7
第三章 摩根台股指數時間序列的到期日效應之分析......9
第一節 資料處理與研究方法 ..........................9
第二節 成交量效果..................................12
第三節 波動性效果..................................18
第四節 價格反轉效果................................25
第五節 各年度的MSCI-TW指數到期日效應...............31
第四章 MSCI-TW個股縱斷面到期日效應之分析...........34
第一節 MSCI-TW指數與個股的到期日效應之比較.........34
(一) MSCI-TW指數成份個股的波動性效果.............35
(二) MSCI-TW指數成份個股的價格反轉效果...........40
第二節 MSCI-TW權值個股的到期日效果之比較...........43
(一) MSCI-TW權值個股的成交量效果.................43
(二) MSCI-TW權值個股的波動性效果.................47
(三) MSCI-TW權值個股的價格反轉效果...............50
第五章 到期日效應的起因............................52
第一節 指數沖銷套利交易與結算制度..................52
第二節 市場價格操縱................................57
第六章 結論........................................62
參考文獻 ............................................64

表目錄
表 3- 1 摩根指數期貨的到期日............................12
表 3- 2 到期日與非到期日收盤前五分鐘的異常成交量........17
表 3- 3 MSCI-TW指數成份股與非成份股投資組合在到期日與非到期日的波動性效果之比較.....................................22
表 3- 4 MSCI-TW指數波動率在到期日與四種非到期日樣本之差.23
表 3- 5 到期日與所有非到期日的價格反轉效果比較..........27
表 3- 6 MSCI-TW成份個股之鉅額交易.......................30
表 3- 7 MSCI-TW指數在到期日與所有非到期日之到期日效應分年檢驗 ................................................33
表 4- 1 MSCI-TW指數成份個股與非成份個股在到期日與所有非到期日的波動性效果之比較.....................................38
表 4- 2 MSCI-TW指數成份個股與非成份個股分別在到期日與非到期日的波動性效果之比較.....................................39
表 4- 3 MCSI-TW指數與非指數的個股平均分別在到期日與非到期日之價格反轉效果...........................................42
表 4- 4 MSCI-TW權值股的成交量效果.......................46
表 4- 5 MSCI-TW權值個股的波動率(|R|)....................50
表 4- 6 MSCI-TW權值個股的價格反轉效果...................51
表 5- 1 影響到期日效應之因素............................56
表 5- 2 MSCI-TW權值個股週轉率比率在到日與非到期日之比較 ................................................59
表 5- 3 MSCI-TW權值個股的波動率比率(%|R|)...............61

圖目錄
圖 3- 1 摩根指數期貨年成交量............................11
圖 3- 2 成交量比率在到期日與特定非到期日之比較..........16
圖 3- 3 成交量週轉率比率在到期日與特定非到期日之比較....16
圖 3- 4 MSCI-TW指數波動率:以指數平均報酬率的絕對值為例 ................................................20
圖 4- 1 MSCI-TW個股平均波動在到期日與非到期日之比較.....37
圖 4- 2 MSCI-TW權值股的成交量比率在到期日與非到期日之比較 ................................................45
圖 4- 3 MSCI-TW權值股的週轉率比率在到期日與非到期日之比較 ................................................45
圖 4- 4 MSCI-TW權值股的報酬絕對值(|R|)在到期日與非到期日之
比較 ................................................49
圖 5- 1 MSCI-TW權值股的波動率比率(%|R|)在到期日與非到期日之比較 ................................................60




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