臺股指數衍生性商品到期日效應之實證研究

Index Derivatives expiration-day Effects: Empirical Evidence from Taiwan Futures Exchange

10.29735/SJEB.200906.0002

陳佳政(Chia-Cheng Chen)；陳政位(Cheng-Wei Chen)；黃金生(Chin-Sheng Huang)

到期日效應 ； 市場結構 ； 指數套利 ； Expiration-Day Effects ； Market Structure ； Index Arbitrage

東吳經濟商學學報

65期（2009 / 06 / 01）

49 - 81

繁體中文

到期日效應是探討衍生市場對現貨市場衝擊的重要課題之一。本研究從臺灣期貨交易所(TAIFEX)市場制度面探討到期日效應。本文的實證資料為1998-2006年臺股指數的日內資料，並依據TAIFEX的結算制度變更、市場規模與法人參與率的變動，分割為三個子樣本期間。本研究獲得的主要結論，包括：在整體樣本期間，臺指衍生契約存在顯著的到期日效應，即在結算期間報酬異常、價格呈現V型反轉、波動量提高、與成交量擴大的現象。TAIFEX結算制度變更的前、後子期間之到期日效應並無不顯著。TAIFEX到期日效應主要發生於整體市場規模擴大與法人參與率提升的第三子期間。本文發現TAIFEX在近期凸顯的到期日效應，吻合Stoll(1988)之論點，乃是期貨市場在既定目標下自然與正常的趨勢。為緩和衍生性商品到期日效應之衝擊，期交所之要務應著手修正市場交易程序，以提供足夠的流動性，降低結算點不平衡單與市場壅塞之現象。

Expiration-day-effects is an important issue concerning the impacts of derivatives on their underlying markets. This study investigates the market structure of Taiwan Futures Exchange (TAIFEX) on the associated expiration-day effects. The empirical data used are the intraday equity index of Taiwan stock exchange during period 1998-2006. In addition, the whole data is divided into three sub-periods according to two main market structure events of TAIFEX: the change of settlement price and the structure change of market scale and participation ratio of institutional traders. The main conclusions of this study are: Ⅰ. TAIFEX= exhibits significant expiration-day effects. Specifically, the whole period data show that abnormal mean return, price reversion, high volatility, and heavy trading volume occur near expires of index derivatives. Ⅱ. In the sub-periods before and after the change of settlement price of index derivatives, the empirical evidence shows no significant expiration-day effects. Ⅲ. The expiration-day effects of TAIFEX mainly realize in the third sub-period which stands for the market structure change on both market scale and institutional traders’ participation. This article uncovers the present phenomena of significant expiration-day effects of TAIFEX, which is consistent with Stoll (1988), is the natural and normal market development under the goal of Taiwan futures exchange. The appropriate measures of regulators necessary to take would be in the direction of amending spot market trading procedures to accommodate the large order imbalance and market jam around expiring of index derivatives.

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