本研究期間為2010年1月25日至2014年12月31日止，以290家於臺灣期貨交易所首次掛牌股票期貨之標的股票為研究樣本，採用事件研究法探討事件發生前後標的股票是否存在異常報酬之情形。
實證結果顯示：臺灣期貨交易所股票期貨首次掛牌對於標的股票會產生異常報酬。2010年臺灣首次推出34檔股票期貨，研究發現對其標的股票價格產生顯著負向的影響，顯示投資人未因事件發生而對現貨抱持樂觀看法，2014年則多在事件日之後有顯著正向的影響。另對上櫃股票影響較上市股票來的顯著，推測投資人認為上櫃公司在財務、業務上仍有較大的成長空間，因此對標的現貨價格持正面態度。產業別部份，以營建類影響最為明顯，其次為其他類，且均產生異常報酬顯著大於零的現象；而在金融類，僅於事件日前的交易日呈現一致顯著小於零的異常報酬；電子類則是不具統計上之顯著性。

The period of this study is from January 25, 2010 to December 31, 2014, with the stocks of 290 companies whose stock futures were listed on the Taiwan Futures Exchange for the first time as the research sample. The study uses the event study method to explore whether there is an abnormal return to the underlying stock before and after the listing.
The empirical results show that for the stock futures on the Taiwan Futures Exchange, there is an abnormal return of the underlying stock of the stock futures listed for the first time. In 2010 Taiwan launched the first 34 stock futures, and the study found that the listing generated a significant negative impact on the price of the underlying stock. This shows that investors do not hold an optimistic view toward the spot price because of the listing event. However, in 2014 most of the prices of the underlying stocks showed a significant positive impact after the event. In addition, the effect on OTC stocks is more significant than listed stocks, suggesting that investors believe that OTC listed companies have greater room for growth in their finance and business, so investors hold an optimistic view toward the spot prices of the underlying stocks. Industry-wise, the construction industry showed the most obvious effect, followed by the “other” industry, and all of them showed an abnormal return significantly larger than zero. An abnormal return significantly smaller than zero only appeared in the trading day before the event for the finance industry, and for the electronics industry the effect was a statistically insignificant.

謝辭    ................................................	I
中文摘要...............................................II
Abstract..............................................III
目　錄	................................................V
表目錄	..............................................VII
圖目錄	.............................................VIII
第壹章	緒論............................................	1
第一節	研究動機與背景..................................	1
第二節	研究目的	........................................3
第三節	研究架構........................................	4
第貳章	股票期貨與文獻探討..............................	5
第一節	全球與臺灣股票期貨發展概況......................	5
第二節	文獻探討........................................	9
一、	金融期貨商品上市對現貨標交易量的影響............	10
二、	金融期貨商品上市對現貨標的價格波動性的影響......	11
三、	期貨對現貨的到期效應............................	17
第參章	研究方法........................................	21
第一節	研究設計與假說..................................	21
第二節	事件研究法......................................	23
第三節	事件研究的步驟..................................	24
第四節	資料來源、研究期間與樣本........................	30
第肆章	實證結果與分析..................................	32
第一節	股票期貨首次掛牌對於標的股票之異常報酬分析......	32
第二節	各年度之異常報酬分析............................	38
第三節	市場別之異常報酬分析............................	44
第四節	產業別之異常報酬分析............................	50
第伍章	結論與建議......................................	57
第一節	研究結論	........................................57
第二節	研究建議	........................................59
參考文獻	................................................60
壹、中文文獻............................................	60
貳、英文文獻............................................	62

表目錄
頁次
表 2 1：臺灣期貨交易所股票期貨契約規格	7
表 2 2：金融期貨商品上市對現貨標交易量的影響探討列舉表	11
表 2 3：認為金融期貨商品上市對現貨標的價格波動有影響探討列舉表	14
表 2 4：認為金融期貨商品上市對現貨標的價格波動沒有影響探討列舉表	17
表 2 5：金融期貨商品對現貨標的到期效應探討列舉表	19
表 3 1：研究樣本數統計表	31
表 4 1：全部樣本之平均異常報酬(%)表	34
表 4 2：全部樣本之累積平均異常報酬(%)表	37
表 4 3：各年度之平均異常報酬(%)表	40
表 4 4：各年度之累積平均異常報酬(%)表	43
表 4 5：各市場別之平均異常報酬(%)表	46
表 4 6：各市場別之累積平均異常報酬(%)表	49
表 4 7：臺灣近十年前四大產業外銷訂單統計表	50
表 4 8：各產業別之平均異常報酬(%)表	53
表 4 9：各產業別之累積平均異常報酬(%)表	56

圖目錄
頁次
圖1 1：研究架構流程圖	4
圖3 1：研究流程圖	22
圖3 2：事件研究法時間關係圖	24
圖4 1：全部樣本之平均異常報酬(%)圖	33
圖4 2：全部樣本之累積平均異常報酬(%)圖	36
圖4 3：各年度之平均異常報酬(%)圖	39
圖4 4：各年度之累積平均異常報酬(%)圖	42
圖4 5：各市場別之平均異常報酬(%)圖	45
圖4 6：各市場別之累積平均異常報酬(%)圖	48
圖4 7：各產業別之平均異常報酬(%)圖	52
圖4 8：各產業別之累積平均異常報酬(%)圖	55

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