题名

摩根台指期貨之到期日效應

并列篇名

Expiration Day Effects of MSCI Taiwan Index Futures

DOI

10.6656/MR.2009.28.1.CHI.1

作者

謝文良(Wen-Liang Hsieh)；曲靜芳(Ching-Fang Chi)

关键词

到期日效應 ； 價格反轉 ； 指數套利 ； Expiration-day effects ； Price reversal ； Index arbitrage

期刊名称

管理評論

卷期/出版年月

28卷1期（2009 / 01 / 01）

页次

1 - 22

内容语文

繁體中文
中文摘要

本文探討摩根台股指數期貨到期日效應及其成因。實證結果指出台灣股市在該期貨到期時，出現成交量異常放大、報酬波動顯著增加，以及價格反轉等現象。到期日效應集中發生於收盤前五分鐘，而非全日時段。在所有到期日中，指數成份股的成交量高於非成份股8倍，且遠大於非到期日的成交量；成份股的波動率在到期收盤前五分鐘劇增，但高波動率並未遞延至隔日開盤；指數在期貨到期日後傾向呈現統計上顯著的反轉。迴歸分析顯示，期貨未平倉量可顯著解釋異常交易量的消長，然而期貨基差、合約月份等變數則與各種到期日效應幅度的關連性較不顯著。現貨市場改以收盤五分鐘集合競價之後，摩台指期貨到期日效應並沒有顯著降低，此結果顯示集合競價吸納買賣單失衡的效用有限。
英文摘要

This paper examines the impacts of the expiration of the MSCI Taiwan stock index futures on the spot market. Results show abnormally large volume, volatility and price reversal exist during the last 5-minute interval of expiration days, On all expiration days, the volume of index stocks is significantly greater than that on non-expiration days and is eight times of that of non-index stocks. Volatility of index stocks increases dramatically during the last 5-minute of trading and subsides in overnight interval. Price reversals are found to be significant as well. Regression analysis suggests that only the abnormal volume, but the volatility or reversal, can be explained by our chosen variables. The magnitude of abnormal volume is directly related to the size of open interest, whereas the magnitudes of abnormal volatility and price reversal are less explainable by the regression. We also find that the abnormal volume enlarged after the stock market adopted a five-minute closing call procedure. It suggests that the closing call may not be effective in absorb large order imbalance.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
参考文献
  1. 諸承明(1998)。績效評核系統內涵及其效益之研究－期望／實際差距分析模式。臺大管理論叢，9(1)，113-151。
    連結：
  2. Allen, T. D.,M. C. Rush(1998).The Effects of Organizational Citizenship Behavior on Performance Judgments: A Field Study and a Laboratory Experiment.Journal of Applied Psychology,83,247-260.
  3. Allison, S. T.,C. E. Herlocker(1994).Constructing Impressions in Demographically Diverse Organizational Settings.American Behavioral Scientist,37(5),637-653.
  4. Anderson, J. C.,D. W. Gerbing(1988).Structural Equation Modeling in Practice: A Review and Recommended Two-step Approach.Psychological Bulletin,103,411-423.
  5. Bentler, P. M.,D. G. Boneet(1980).Significance Tests and Goodness-of-fit in the Analysis of Covariance Structures.Psychological Bulletin,88,588-600.
  6. Bentler, P. M.,E. J. C. Wu(1993).EQS/Windows User's Guide.Los Angeles:BMDP Statistical Software.
  7. Bolino, M. C.(1999).Citizenship and Impression Management: Good Soldiers or Good Actors.Academy of Management Review,24(1),82-98.
  8. Bolino, M. C.,J. A. Varela.,B. Bande,W. H. Turnley(2006).The Impact of Impression-management Tactics on Supervisor Ratings of Organizational Citizenship Behavior.Journal of Organizational Behavior,27(3),281-297.
  9. Bollen, K. A.(1989).Structural Equations with Latent Variables.New York:Wiley.
  10. Browne, M. W.,R. Cudeck,K. A. Bollen (eds.),J. S. Long (eds.)(1993).Testing Structural Equation Models.Newbury Park, CA:Sage.
  11. Cialdini, R. B.,R. E. Petty,J. T. Cacioppo,M. Rosenzweig (eds.),L. Porter (eds.)(1981).Annual Review of Psychology.Palo Alto, CA:Annual Reviews.
  12. Coleman, V. I.,W. C. Borman(2000).Investigating the Underlying Structure of the Citizenship Performance Domain.Human Resource Management Review,10,25-44.
  13. Dansereau, F. JR.,G. Graen,W. J. Haga(1975).A Vertical Dyad Linkage Approach to Leadership within Formal Organizations-A Longitudinal Investigation of the Role Making Process.Organizational Behavior and Human Performance,13,46-78.
  14. De Vellis, R. F.(1991).Scale Development Theory and Applications.London:SAGE.
  15. Deluga, R. J.(1998).Leader-member Exchange Quality and Effectiveness Ratings: the Role of Subordinate-supervisor Conscientiousness Similarity.Group and Organization Management,23(2),189-216.
  16. Deluga, R. J.(1994).Supervisor Trust Building, Leader-member Exchange and Organizational Citizenship Behavior.Journal of Occupational and Organizational Psychology,67(4),315-326.
  17. Deluga, R. J.,T. J. Perry(1994).The Role of Subordinate Performance and Ingratiation in Leader-member Exchanges.Group and Organization Management,19,67-86.
  18. Eastman, K. K.(1994).In the Eyes of the Beholder: An Attributional Approach to Ingratiation and Organizational Citizenship Behavior.Academy of Management Journal,37,1379-1391.
  19. Eizenberg, N.(1982).The Development of Prosocial Behavior.New York:Academic Press.
  20. Fandt, P. M.,G. R. Ferris(1990).The Management of Information and Impressions: When Employees Behave Opportunistically.Organizational Behavior and Human Decision Processes,45,140-158.
  21. Ferris, G. R.,T. A. Judge,K. M. Rowland,D. E. Fitzgibbons(1990).Subordinate Influence and the Performance Evaluation Process: Test of a Model.Organizational Behavior and Human Decision Processes,58,101-135.
  22. Finkelstein, M. A.,L. A. Penner(2004).Predicting Organizational Citizenship Behavior: Integrating the Functional and Role Identity Approaches.Social Behavior and Personality,32(4),383-398.
  23. Fornell, C.,D. F. Larcker(1981).Evaluating Structural Equation Models with Unobservable Variables and Measurement Error.Journal of Marketing Research,18(1),39-50.
  24. Gaes, F. F.,J. T. Tedeschi(1978).An Evaluation of Self-esteem and Impression Management Theories of Anticipatory Belief Change.Journal of Experimental Social Psychology,14,579-587.
  25. Gerbing, D. W.,J. C. Anderson(1992).Feeling Good-doing Good: A Conceptual Analysis of the Mood at Work-organizational Spontaneity Relationship.Psychological Bulletin,112,310-329.
  26. Goffman, E.(1959).The Presentation of Self in Everyday Life.New York:Doubleday Anchor.
  27. Gouldner, A. W.(1960).The Norm of Reciprocity: A Preliminary Statement.American Sociological Review,25,161-178.
  28. Graen, G. B.,M. Uhl-Bien(1995).Relationship-based Approach to Leadership: Development of Leader-membership Over 25 Years: Applying a Multi-level Multi-domain Perspective.Leadership Quarterly,6(2),219-247.
  29. Hatcher, L.(1998).A Step-by-Step Approach to Using the SAS System for Factor Analysis and Structural Equation Modeling.SAS Institute Inc.
  30. Hofmann, D. A.,F. P. Morgeson,S. J. Gerras(2003).Climate as a Moderator of the Relationship between Leader-member Exchange and Content Specific Citizenship: Safety Climate as An Exemplar.Journal of Applied Psychology,88(1),170-178.
  31. Hui, C.,K. S. Law,Z. X. Chen(1999).A Structural Equation Model of the Effects of Negative Affectivity, Leader-member Exchange, and Perceived Job Mobility on In-role and Extra-role Performance: A Chinese Case.Organizational Behavior and Human Decision Processes,77(1),3-21.
  32. Ilies, R.,B. A. Scott,T. A. Judge(2006).The Interactive Effects of Personal Traits and. Experienced States on Intraindividual Patterns of Citizenship Behavior.Academy of Management Journal,49,561-575.
  33. Ilies, R.,J. D. Nahrgang,F. P. Morgeson(2007).Research Reports-leader-member Exchange and Citizenship Behaviors: A Meta-Analysis.Journal of Applied Psychology,92(1),269-276.
  34. Jones, E. E.(1964).Ingratiation.New York:Appleton.
  35. Jones, E. E.,C. Wortman(1973).Ingratiation: An Attributional Approach.Morristown. NJ:General Learning Press.
  36. Jones, E. E.,L. K. Stires,K. G. Shaver,H. V. Harris(1968).The Evaluation of an Ingratiatory Target Persons and Bystanders.Journal of Personality,36,349-385.
  37. Jones, E. E.,R. G. Jones(1963).Tactics of Ingratiation among Leaders and Subordinates in a Status Hierarchy.Psychological Monographs,77,1-20.
  38. Jones, E. E.,T. S. Pittman,J. Suls (ed.)(1982).Psychological perspectives on the Self.Hillsdale, NJ:Lawrence Erlbaum Associates.
  39. Jöreskog, K. G.,D. Sörbom(1989).LISREL 7: A Guide to the Program and Applications.Chicago:SPSS Inc.
  40. Judge, T. A.,R. D. Bretz(1994).Political Influence Behavior and Career Success.Journal of Management,20,43-65.
  41. Katz, D.(1964).The Motivational Basis of Organizational Behavior.Behavior Science,9,131-146.
  42. Kent, A.(2001).Perceived Transformational Leadership, Organizational Commitment, and Citizenship Behavior: A Case Study in Intercollegiate Athletics.Journal of Sport Management,15(2),135-159.
  43. Kline, R. B.(1998).Principles and Practice of Structural Equation Modeling.New York:The Guilford Press.
  44. Krilowicz, T. J.,C. M. Lowery(1996).The Impact of Organizational Citizenship Behavior on the Performance Appraisal Process: A Cross-cultural Study.International Journal of Management,13,94-100.
  45. Kumar, K.,M. Beyerlein(1991).Construction and Validation of an Instrument for Measuring Ingratiatory Behaviors in Organizational Settings.Journal of Applied Psychology,76(5),619-627.
  46. Landis, R. S.,D. J. Beal,P. E. Tesluk(2000).A Comparison of Approaches to Forming Composite Measures in Structural Equation Models.Organizational Research Methods,3,186-207.
  47. Lee, K.,N. J. Allen(2002).Organizational Citizenship Behavior and Workplace Deviance: The Role of Affect and Cognitions.Journal of Applied Psychology,87,131-142.
  48. Liden, R. C.,T. R. Mitchell(1988).Ingratiatory Behaviors in Organizational Settings.Academy of Management Review,13(4),572-587.
  49. MacKenzie, S. B.,P. M. Podsakoff,R. Fetter(1993).The Impact of Organizational Citizenship Behavior on Evaluations of Salesperson Performance.Journal of Marketing,57,70-80.
  50. Mackenzie, S. B.,P. M. Podsakoff,R. Fetter(1991).Organizational Citizenship Behavior and Objective Productivity as Determinants of Managerial Evaluations of Salesperson' Performance.Organizational Behavior and Human Decision Processes,50,123-150.
  51. Marsh, H. W.,D. Hocevar(1985).The Application of Confirmatory Factor Analysis to the Study of Self-concept: First and Higher Order Factor Structures and their Invariance Across Age Groups.Psychological Bulletin,97,562-582.
  52. Marsh, H. W.,J. R. Balla,R. P. McDonald(1988).Goodness-of-fit Indices in Confirmatory Factor Analysis: The Effect of Sample Size.Psychological Bulletin,103,391-410.
  53. McNeely, B. L.,B. M. Meglino(1994).The Role of Dispositional and Situational Antecedents in Prosocial Organizational Behavior: An Examination of the Intended Beneficiaries of Prosocial Behavior.Journal of Applied Psychology,79,836-844.
  54. Medsker, G. L ,L. R. Williams,P. J. Holahan(1994).A Review of Current Practices for Evaluating Causal Models in Organizational Behavior and Human Resource Management Research.Journal of Management,20,439-464.
  55. Morrison, E. W.(1994).Role Definitions and Organizational Citizenship Behavior: The Importance of the Employee's Perspective.Academy of Management Journal,37(6),1543-1567.
  56. Motowidlo, S. J(2000).Some Basic Issues Related to Contextual Performance and Organizational Citizenship Behavior in Human Resource Management.Human Resource Management Review,10,115-126.
  57. Mulaik, S. A.,C. R. Reynolds (ed.)(1994).Cognitive Assment: A Multidisciplinary Perspective.New York:Plenum.
  58. Noar, S. M.(2003).The Role of Structural Equation Modeling in Scale Development.Structural Equation Modeling,10,622-647.
  59. Nunnally, J. C.(1978).Psychometric Theory.New York:McGraw-Hill.
  60. Organ, D. W.(1988).Organizational Citizenship Behavior: The Good Soldier Syndrome.MA:Lexington, Books.
  61. Organ, D. W.(1997).Organizational Citizenship Behavior: It's Construct Clean-up Time.Human Performance,10,85-97.
  62. Organ, D. W.,B. M. Staw (eds.),L. L. Cummings (eds.)(1990).Research in Organizational Behavior.Greenwich, CT:JAI Press.
  63. Organ, D. W.,K. Ryan(1995).A Meta-Analytic Review of Attitudinal and Dispositional Predictors of Organizational Citizenship Behavior.Personnel Psychology,48,775-802.
  64. Podsakoff, P. M.,S. B. MacKenzie,J. B. Paine,D. G. Bachrach(2000).Organizational Citizenship Behaviors: A Critical Review of the Theoretical and Empirical Literature and Suggestions for Future Research.Journal of Management,26,513-563.
  65. Ralston, D. A.,P. M. Elsass,R. A. Giacalone (eds.),P. Rosenfeld (eds.)(1989).Impression Management in the Organization.Hillsdale, N J:Lawrence Erlbaum.
  66. Rao, A.,S. M. Schmidt,L. H. Murray(1995).Upward Impression Management: Goals, Influence Strategies, and Consequences.Human Relations,48(2),147-158.
  67. Rioux, S. M.,L. A. Penner(2001).The Causes of Organizational Citizenship Behavior: A Motivational Analysis.Journal of Applied Psychology,86(6),1306-1314.
  68. Scandura, T. A.,G. B. Graen(1984).Moderating Effects of Initial Leader-member Exchange Status on the Effects of a Leadership Intervention.Journal of Applied Psychology,69,418-436.
  69. Schlenker, B. R.(1980).Impression Management: The Self-concept, Social Identity, and Interpersonal Relations. Monterey.CA:Brooks.
  70. Schnake, M.,M. P. Dumler(1997).Organizational Citizenship Behavior: The Impact of Rewards and Reward Practices.Journal of Managerial Issues,9,216-229.
  71. Shankar, A.,M. A. Ansari(1994).Organizational Content and Ingratiatory Behavior in Organizations.Journal of Social Psychology,134(5),641-645.
  72. Shore, L. M.,S. J. Wayne(1990).Commitment and Employee Behavior: Comparison of Affective Commitment and Continuance Commitment with Perceived Organizational Support.Journal of Applied Psychology,78,774-780.
  73. Smith, C. A.,D. W. Organ,J. P. Near(1983).Organizational Citizenship Behavior: Its Nature and Antecedents.Journal of Applied Psychology,68,653-663.
  74. Spector, P. E.,S. Fox(2002).An Emotion-centered Model of Voluntary Work Behavior: Some Parallels between Counterproductive Work Behavior and Organizational Citizenship Behavior.Human Resource Management Review,12,269-292.
  75. Tedeschi, J. T.,V. Melburg(1984).Impression Management and Influence in the Organization.Research in Sociology of Organizations,3,31-58.
  76. Townsend, J.,J. S. Phillips,T. J. Elkins(2000).Employee Retaliation: The Neglected Consequence of Poor Leader-Member Relations.Journal of Occupational Health Psychology,5,457-463.
  77. Van Dyne, L.,L. L. Cummings(1990).Extra-role Behaviors: In Pursuit of Construct and Definitional Clarity.Paper presented at the annual meeting of the Academy of Management,San Francisco:
  78. Van Dyne, L.,L. L. Cummings,J. McLean Parks,L. L. Cummings (eds.),B. M. Staw (eds.)(1995).Research in Organizational Behavior.Greenwich, CT:JAIPress.
  79. Vandenberg, R. J.,C. E. Lance,S. C. Taylor,D. L Turnipseed (ed.)(2005).Handbook of Organizational Citizenship Behavior: A Review of "Good Soldier" Activity in Organizations.New York:Nova Science Publishers.
  80. Varma, A.,A. S. DeNisi(1996).Interpersonal Affect and Performance Appraisal: A Field Study.Personnel Psychology,49,341-360.
  81. Wayne, S. J.,G. R. Ferris(1990).Influence Tactics, Affect, and Exchange Quality in Supervisor-subordinate Interactions: A Laboratory Experiment and Field Study.Journal of Applied Psychology,75,487-499.
  82. Wayne, S. J.,K. M. Kacmar,G. R. Ferris(1995).Coworker Responses to Other's Ingratiation Attempts.Journal of Managerial Issues,7(3),277-289.
  83. Wayne, S. J.,R. C. Liden(1995).Effects of Impression Management on Performance Rating: A Longitudinal Study.Academy of Management Journal,38,232-260.
  84. Wayne, S. J.,S. A. Green(1993).The Effects of Leader Member Exchange on Employee Citizenship and Impression Management Behavior.Human Relations,46(12),1431-1440.
  85. Williams, L. J.,S. E. Anderson(1991).Job Satisfaction and Organizational Commitment as Predictors of Organizational Citizenship and In-role Behaviors.Journal of Management,17,601-617.
  86. Zaidman, N.,A. Drory(2001).Upward Impression Management in the Work Place Cross-cultural Analysis.International Journal of Intercultural Relations,25,671-690.
  87. 王淑貞(1999)。國立中央大學人力資源管理研究所。
  88. 林鉦棽(2005)。社會交換系統與組織控制系統對組織公民行爲之影響。管理學報，22(4)，503-524。
  89. 林鉦棽(1996)。組織公正、信任、組織公民行為之研究：社會交換交換理論之觀點。管理科學學報，13，391-416。
  90. 林鉦棽、蔡明慶(2003)。社會交換系統與組織控制系統對組織公民行爲之影響。亞太社會科技學報，3(1)，1-25。
  91. 邱皓政(2004)。量化研究與統計分析。台北:五南出版社。
  92. 許道然(2001)。國立政治大學公共行政學系。
  93. 許道然(2002)。組織公民行爲之研究。空大行政學報，12，113-146。
  94. 樊景立(1995)。我對差距格局與華人組織行爲的一些看法。本土心理學研究，3，239-237。
  95. 諸承明(2000)。親信關係與員工績效評估之關聯性研究－從差序格局探討主管對部的評估偏差。管理評論，3(19)，125-147。
被引用次数
  1. 駱武昌、婁天威、白謦(2015)。台灣牛熊證之到期日效應。會計與財金研究，8(2)，61-82。
  2. 蕭朝興、王子湄、丁信瑜(2014)。台灣股市收盤資訊揭露制度與價格效率的關聯性。管理學報，31(2)，107-134。
  3. 葉仕國、張森林、林丙輝(2017)。台灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-258。
  4. 詹淑慧、黃玉娟、陳則學(2012)。新加坡摩根台股期貨到期日效應之因素探討：套利或操縱？。管理與系統，19(4)，761-782。
print cancel