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題名：臺股指數衍生性商品到期日效應之實證研究
作者：陳佳政
作者(外文)：Chia-Cheng Chen
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：黃金生
學位類別：博士
出版日期：2008
主題關鍵詞：到期日效應；指數套利；日內資料；市場結構；實際波動度；Realized Volatility；Index Arbitrage；An Intraday Data；Market Structure；Expiration-Date Effects
原始連結：連回原系統網址new window
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衍生性金融商品是1980年代最成功的金融創新商品，它提供投資人迅速且有效率的金融市場風險移轉。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。本研究第一部分從臺灣期貨交易所（TAIFEX）市場制度面探討到期日效應。本研究的實證資料為1998-2006年臺股指數的日內資料，並依據TAIFEX的結算制度變更、市場規模與法人交易結構的變動，分割為三個子樣本期間。本研究的主要結論：（1）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。（2）TAIFEX結算制度的變更對到期日效應並無顯著影響。（3）TAIFEX到期日效應的主要推動力量，來自整體市場規模擴大與法人結構的提升。本研究發現TAIFEX在近期凸顯的到期日效應，乃是在期貨交易市場既定目標下自然與正常的趨勢。當務之急，就如同當年美國SEC對到期日效應的監控策略，在短短半年內(1985.10-1986.6)，由修正期貨結算程序的主軸，轉變為訴求一有效率的現貨市場交易程序，提供足夠的流動性以吸納到期日的市場壅塞。
本研究第二部分探討臺指衍生性金融契約到期日價格反轉效應之形成因素與價格反轉方向之可預測性。本研究之解釋變數包括臺指衍生性金融契約的到期日前之市場交易活動、機構法人交易量與全球股市動態等變數。本研究之實證發現，包括：（1）多元迴歸模型之實證結果顯示價差、趨勢與留倉比率對結算點前後15分鐘與前後30分鐘之價格反轉具有顯著影響力。其中，當期貨領先現貨呈現正價差時，造成結算點前後的價格呈現V型反轉之負報酬。趨勢與留倉比率的提升，助長現貨市場多頭氣勢，使結算點前後呈現倒V型反轉之正報酬。道瓊工業指數則對較長的反轉區間，如結算點前後一交易日具顯著影響。（2）Logit Regression之實證結果顯示，價差、趨勢、與留倉比率對臺指衍生契約結算價格反轉之方向具有預測能力。其中，期貨對現貨之價差將導致結算價格為負向之V型反轉，趨勢與留倉比率之提升則預測結算點之正向倒V型反轉。（3）本實證研究有關價格效應之形成因素與價格反轉方向之預測結果與多數財經媒體預測到期日結算之拉高或壓低相當一致。
本研究第三部分以臺灣加權股價指數日內資料為研究對象，應用Andersen et al.(2001)實際波動度，探討（1）到期日的價格、實際波動度、與成交量的異常現象。（2）臺灣期貨交易所從2001年11月22 日將股票指數衍生契約的結算價從到期日翌日股票市場開盤價，改為開盤後15分鐘加權指數平均價。本研究檢驗結算制度改變對臺灣股票市場到期日效應之影響。實證結果發現（1）臺灣股票市場在樣本的全期間普遍存在指數到期日效應。（2）本研究的實證結果也顯示，2001年11月至2006年12月的第二子期間具有顯著的到期日效應，但1998年9月至2001年10月的第一子期間並不顯著；因此，指數結算方法的改變，並非如預期般的能緩和指數到期日市場壅塞的異常現象。（3）臺灣期貨交易所自1998年開始，整體市場的規模與法人參與的結構都有很大的成長。其中，法人參與比率從1998年5% 增加至2003年的31% 與2006年的61%。本研究測試將第一子期間延長至2002年12月，實證結果與上述近似。因此，本研究推估臺灣股票市場到期日效應主要推進力量來自衍生性金融市場規模與法人結構的激增，而相對的現貨市場並無一配套的交易程序，以吸納到期日因反向結清套利的現貨部位，所造成的交易壅塞現象。
Derivatives are the most successful financial innovation in the 1980s that provide the efficient vehicle of risk transfer for market investors. Expiration-day-effects are an important issue concerning the impacts of derivatives on their underlying markets. The first of this study aims to investigate 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 in 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. The change of settlement price of index derivatives has no influence on expiration-day effects. Ⅲ. The root cause of TAIFEX expiration-day effects is the structure change on both market scale and institutional traders’ market participation. This article uncovers the present phenomena of significant expiration-day effects of TAIFEX is the natural and normal market development under the goal of Taiwan futures exchange. The appropriate measures of regulators would be like SEC, switching focus from change of settlement procedure to spot market procedure in 1985.10-1986.6, to provide an effective trading procedure to accommodate the market jam around expiring of index derivatives.
The second part of this study attempts to clarify the main determinants which are on effects for the intensity of expiration-day-effects for Taiwan index drivatives. Moreover, this part of the study also investigates the predictability of the expiration-day-effects upon Taiwan index derivatives. The explainable variables of the models are relavent to market trading activity, institutional investors, and global stock markets dynamics. The empirical results uncover that (1) In the multiple regression analysis, basis, five-day price trend, and the ratio of open interest for delivery possess significant explainatory power for the price-revesal behavior upon fifteen minutes time interval around expiration days. Among them, when the futures price leading spot price with positive basis, the R1-region exhibits V pattern of price reversal with negative reversal returns. Moreover, when five-day price trend and the ratio of opern interest for delivery increase and the market are on optimism, the R1-region tends to an inverted-V pattern with positive returns. The DJIA apperars to affect prive-revesal on longer time interval, for instance, R4-region. (2) Ligit regression analysis shows that basis, five-day price trend, and the ratio of open interest for delivery are capable of partially predicting the reversal direction. Among them, the positive basis of futures prices versus spot prices can forecast the negative V pattern reversal and five-day price trend and the ratio of opern interest for delivery in general lead to positive inverted-V Pattern. (3) The empirical results drawn from this study are rather consistent with the forecastings of financial press reported by financial analysts.
The third part this study employs Andersen et al. (2001) realized volatility in the intraday data of Taiwan stock exchange to investigate (1) the price effect, volatility effect, and trading volume effect on the expiration day; (2) since November 22, 2001 Taiwan Futures Exchange has changed index derivatives settlement price from the opening price of expiration day to the 15 minutes average price after market opening. This study empirically tests the effect of change of settlement method on the index expiration-day effects. The empirical results of this study show that (1) the expiration day effects are significant in the whole sample period in the Taiwan stock exchange; (2) however, the expiration effects are strengthened since the change of settlement method. The empirical evidence indicates the settlement procedure of derivatives contracts has little influence on the expiration day effects; (3) the rationale underlying the strong expiration day effects in the second sample period might relate to the market structure change of Taiwan Futures Exchange. The empirical results indicate the market size and market participant structure Taiwan Futures Exchange explains the expiration day effects of Taiwan stock exchange.
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1. 蔡垂君，2003，臺灣股價指數期貨與現貨之實證研究，臺北大學企業管理系，博士論文。new window
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