本論文主要探討台灣地區指數期貨最後結算日時，現貨市場中指數與個別股票是否會有異常報酬率、波動率、成交量及價格反轉等到期日效應存在市場之中，實證過程採用拔靴複製(Bootstrap)檢定方法。
　　首先針對指數到期日效應探討，分別驗證台股期貨及摩台指期貨在期貨到期時是否存在到期日效應，接續探討其30檔主要成份股是否會受到台股期貨及摩台指期貨到期日影響，最後將比較兩種不同的指數期貨最後結算方式是否會對其成份股有不同的影響。
　　根據結果，本研究最後獲得以下結論：(一)台股期貨及摩台指期貨存在到期日效應；(二)台股期貨最後結算時，部分成份股存在到期日效應；(三)摩台指期貨最後結算時，成份股存在較顯著到期日效應；(四)平均價最後結算機制優於最後收盤價最後結算方式。

The purpose of this thesis is to examine the influence of expiration day on index futures in Taiwan, the spot index and index constituent stock whether to have the abnormal return, volatility, trading volume, price reversal. This paper applies the bootstrap method to test the expiration-day effects.
　First, we discuss the expiration-date effects on index futures and discover if it shows up that between TAIFEX TAIEX futures (TX) and SGX MSCI Taiwan Index Futures (TW) to prove the existence of the expiration-date effects on 30 index constituent stocks. Eventually, we compare two different final settlement procedures with each other in order to find out if there are different influences on its constituent stocks.
　According to the results of our empirical study, the conclusions are as following：
 (1) The expiration-day effects exists in TAIFEX TAIEX futures (TX) and SGX MSCI Taiwan Index Futures (TW); (2) When TX final settlement, parts of index constituent stocks exist the expiration-day effects; (3) When TW, index constituent stocks exist conspicuous the expiration-day effects; (4) Average price final settlement procedure is better than the closing price final settlement procedure.

中文摘要..............................................................Ⅰ
英文摘要..............................................................Ⅱ
目錄....................................................................Ⅲ
表目次.................................................................Ⅴ
圖目次.................................................................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..................................................4
　第三節 論文架構..................................................5
第二章  文獻探討.....................................................7
　第一節	台灣股價指數期貨.....................................7
　第二節	到期日效應相關文獻................................15
　第三節 影響最後結算價相關文獻..........................20
第三章  研究方法....................................................25
　第一節	資料來源及處理.......................................25
　第二節	變數定義.................................................30
　第三節	檢定假設與檢定方法.................................33
第四章  實證結果....................................................35
　第一節 標的指數到期日效應.................................35
　第二節 台灣指數期貨最後結算對個股之影響..........40
　第三節 台股期貨與摩台指期貨到期日效應之比較....58
第五章  結論...........................................................60
參考文獻...............................................................62

表目次

表2-1 本研究期間台股期貨契約規格.......................................................................9
表2-2 台股指數前五十大成份股.............................................................................10
表2-3 新加坡摩根士丹利資本國際公司台灣股價指數期貨契約內容............................12
表2-4 新加坡摩根士丹利資本國際公司台灣股價指數成份股及權重............................13
表2-5世界各主要指數期貨最後結算方式彙整表.......................................................24
表3-1 本研究所探討之股票選擇權標的證券.............................................................28
表3-2 台股期貨的最後結算日一覽表......................................................................29
表3-3 摩台指期貨的最後結算日一覽表...................................................................29
表4-1 台股期貨對台股指數之到期日效應檢定結果...................................................37
表4-2 摩台指期貨對台股指數之到期日效應檢定結果................................................39
表4-3 台股期貨最後結算對其標的指數主要30檔成份股之平均報酬率(%)檢定結果.......41
表4-4 台股期貨最後結算對其標的指數主要30檔成份股之報酬波動率(%)檢定結果.......43
表4-5 台股期貨最後結算對其標的指數主要30檔成份股之成交量(%)檢定結果.............45
表4-6 台股期貨最後結算對其標的指數主要30檔成份股之價格反轉檢定結果...............47
表4-7 摩台指期貨最後結算對其標的指數主要30檔成份股平均報酬率(%)檢定結果.......50
表4-8 摩台指期貨最後結算對其標的指數主要30檔成份股報酬波動率(%)檢定結果.......52
表4-9 摩台指期貨最後結算對其標的指數主要30檔成份股交易量(%)檢定結果..............54
表4-10 摩台指期貨最後結算對其標的指數主要30檔成份股價格反轉檢定結果..............56
表4-11 個股到期日效應指標統計............................................................................59

圖目次
圖 1-1 論文研究流程............................................................................................ 6
圖2-1 台股期貨近年來成交量.................................................................................8

壹.中文部分
吳孟憲(2003)，選擇權到期效果之研究─以台灣市場為例，臺灣大學國際企業學研究所碩士論文
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
林世釗(2003)，台灣股價指數現貨、期貨及摩根台灣股價指數期貨效應之研究，台北大學企業管理所碩士論文
胡宇明(2002)，臺灣指數期貨到期效果之檢測─GARCH模型之應用，國立臺灣大學農業經濟學研究所碩士論文
洪舜華(2001)，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學系碩士論文
許美滿(2006)，衍生性市場創新、交易機制與隱含波動，淡江大學財務金融學系博士論文
許義忠(2004)，結算制度與到期日效應，國立中央大學財務金融研究所碩士論文
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，淡江大學財務金融學系碩士論文
陳啟明(2001)，期貨結算對權值股之探討與期貨、現貨價格變動率對權值股之影響，淡江大學管理科學所碩士論文
蔡垂君(2002)，臺灣股價指數期貨與現貨之實證研究，國立臺北大學企業管理學系博士論文


貳.英文部分
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