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系統識別號 U0002-2905200522003100
中文論文名稱 台指期貨與摩台指期貨到期日效應日內資料之研究
英文論文名稱 Expiration Effect of Taiwan Index Futures and MSCI Taiwan Futures – an Intraday Study
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 江文嘉
研究生英文姓名 Wen-Chia Chiang
學號 692490740
學位類別 碩士
語文別 中文
口試日期 2005-05-13
論文頁數 74頁
口試委員 指導教授-謝文良
委員-李進生
委員-林忠機
委員-林允永
中文關鍵字 到期效應  價格反轉 
英文關鍵字 expiration effect  price reversal 
學科別分類 學科別社會科學商學
中文摘要 本文根據Chow, Haynes & Zhang (2003)之t-test與F-test檢定方法,與Stoll & Whaley (1987)之報酬反轉模型,探討台指期貨與摩台指期貨到期對現貨價格變化之各種影響及產生之現象。

  本研究獲得幾項重要的結論如下所示:
1. 就整體市場而言,台指期與摩台指期到期時皆會有異常的平均報酬產生,但並非發生在到期日當天,而是在到期前二天即已有異常的平均報酬產生。且在到期期間台指期與摩台指期也都會對現貨價格產生向下的壓力。

2. 台指期貨到期時會使現貨市場在到期前二天即產生價格反轉的現象,且本沒有的價格反轉現象是因台灣期交所改變最後結算價的計算方式而產生;而摩台指期貨在三個到期期間則都沒有顯著的價格反轉現象產生。

3. 台指期貨與摩台指期貨之個別合約價格波動性之檢測,在到期前二天就已有合約有異常的價格波動性,且很少有合約會在到期日、到期前一日及到期前二日都有顯著的價格波動產生;此外也不會整個交易日都有價格的異常波動性產生,而是可能集中發生在開盤頭一小時或是收盤前一小時而已。
英文摘要 This paper analyzes the impacts of the maturity of Taiwan Index Futures and MSCI Taiwan Futures to the spot prices. The statistic method used here are t-test and F-test, which are also used by Chow, Haynes & Zhang (2003). In addition, price reversal model introduced by Stoll & Whaley (1987) is used to observe the impacts.
Important findings are summarized as follows:
1. There are abnormal returns for both Taiwan Index Futures contracts and MSCI Taiwan Futures two days prior to the maturity but not on the expiration day. Also, both index futures put downward press on the spot prices at maturity of the contracts.
2. Price reversal occurs on the spot market two days prior to he expiration of Taiwan Index Futures. We find the significant reversal effect after the exchange alters the rule for determining settlement price. But no significant price-reversed occurs during the three-day expiration period of MSCI Taiwan index futures.
3. When focusing on the price volatility of individual contract, some contracts show extraordinary volatility two days prior to the maturity. However, abnormal variation mostly occurs in the first hour of the opening or the last hour of the closing surrounding contract expiration. Abnormal variation does not span the entire two-day range of expiration period.
論文目次 第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 3
第四節 研究架構 5
第二章 相關文獻探討 6
第一節 重要文獻之介紹 6
第二節 選擇權及期貨市場到期效應發生的可能原因 11
第三節 到期效應之各種效果 14
第四節 到期效應檢測之方法 18
第五節 各類商品期貨之實證結果 22
第三章 研究方法 26
第一節 研究架構及流程 26
第二節 實證模型 28
第四章 實證結果與分析 35
第一節 資料來源與處理 35
第二節 台指期貨到期日效應檢測 37
第三節 摩台指期貨到期日效應檢測 55
第五章 結 論 68
參考文獻 72

【表2-1】波動幅度組合得分表 20
【表2-2】每組分數之理論發生機率表 20
【表4-1】台指期貨與摩台指期貨部份合約規格之比較 35
【表4-2】整段研究期間台指現貨到期前後平均報酬差異t-test檢定 值 38
【表4-3】最後結算價修改前台指現貨到期前後平均報酬差異t-test檢定值 39
【表4-4】最後結算價修改後台指現貨到期前後平均報酬差異t-test檢定值 40
【表4-5】台指期貨到期價格反轉二項式檢定統計表 45
【表4-6】到期日為到期期間之台指期個別合約到期效應F-test檢定P值 48
【表4-7】到期前一日為到期期間之台指期個別合約到期效應F-test檢定P值 50
【表4-8】到期前二日為到期期間之台指期個別合約到期效應F-test檢定P值 52
【表4-9】摩台指現貨到期前後平均報酬差異t-test檢定值 55
【表4-10】摩台指價格反轉二項式檢定統計表 58
【表4-11】到期日為到期期間之摩台指個別合約到期效應F檢定P-value 60
【表4-12】到期前一日為到期期間之摩台指個別合約到期效應F檢定P-value 62
【表4-13】到期前二日為到期期間之摩台指個別合約到期效應F檢定P-value 64
【圖3-1】到期日價格反轉圖 31
【圖3-2】到期日收盤前價格反轉圖 32
【圖3-3】到期後日內價格反轉圖 33
【圖4-1】到期日為到期期間之價格反轉發生次數統計圖 43
【圖4-2】到期日前一日為到期期間之價格反轉發生次數統計圖 44
【圖4-3】到期日前二日為到期期間之價格反轉發生次數統計圖 44
【圖4-4】摩台指價格反轉發生次數統計圖 58

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