台灣牛熊證之到期日效應

The Expiration Day Effect on Taiwan Callable Bull/Bear Contracts

10.6735/JAFD.201509_8(2).0004

駱武昌(Wu-Chang Luo)；婁天威(Tien-Wei Lou)；白謦(Ching Bai)

牛熊證 ； 到期日效應 ； 比較期間法 ； callable bull/bear contracts ； the expiration day effect ； comparison period approach

會計與財金研究

8卷2期（2015 / 09 / 01）

61 - 82

繁體中文

衍生性商品的到期日效應一直以來受到主管機關及學界的重視，隨著金融商品不斷創新，對於台灣新掛牌的牛熊證(callable bull/bear contracts, CBBCs)到期時是否會產生到期日效應較少人探討。因此本研究利用比較期間法探討2011年7月4日至2014年12月31日在台灣證券交易所掛牌的牛熊證，研究到期時是否會產生到期日效應，亦即異常成交量、異常波動及價格反轉。本研究發現整體而言牛熊證市場異常成交量及異常波動並不顯著，僅正常到期的牛熊證價格反轉顯著。其顯著的可能原因是因為正常到期的牛熊證結算時間相較於提早到期的牛熊證集中，以至於正常到期的牛熊證價格反轉顯著。

The expiration day effect of derivatives has been well studies by the authorities and academia. However, as far as I knew, the expiration day effect of the callable bull/bear contracts (callable bull/bear contracts, CBBCs) in Taiwan still need to be investigated. Therefore, this research employ Comparison Period Approach to examine the expiration day effect, i.e. the abnormal volume, the abnormal volatility and price reversal, of CBBCs in Taiwan. The sample period was from July 2011 to December 2014. The empirical results show that there are no abnormal volume or volatility in Taiwan CBBCs. Nevertheless, after the contracts with the same expiration are excluded, there is evidence of price reversal for both of the bull and bear contracts.

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