臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：到期日效應-台灣市場之實證
作者：曲靜芳
作者(外文)：Ching-Fang Chi
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：謝文良
學位類別：博士
出版日期：2009
主題關鍵詞：到期日效應；價格反轉；指數套利；價格操縱；expiration-day effects；price reversals；index arbitrage；price manipulations
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:25
多數研究到期日效應的學者指出，衍生性金融商品的到期日對其現貨市場的價量行為會產生影響，但是大部分的文獻僅針對指數現貨本身作探討，鮮少分析指數成份個股的部分，因此本文除了探究摩根台指現貨之外，還深入研究其成份股的到期日效應，以及形成該效應的可能因素。
本論文的研究方法分為三階段：第一，採行Masulis (1980)的比較期間法(comparison-period approach，CPA)，分別測試指數和非指數投資組合在到期日時的成交量、價格波動及價格反轉的異常程度。第二，檢驗到期日效應對個別指數成份股的影響程度，觀察影響程度是否與指數權重大小有關。第三，檢測到期日效應的成因，先以迴歸模型分析指數套利反向沖銷活動與結算制度的改變對指數現貨價量異常表現的解釋程度，再透過CPA法比較各成份股縱斷面的到期日效應，探討價格操縱存在的可能性。
此研究過程產生三項有趣的結果，分述如下：首先，摩根台指現貨在該期貨契約到期時，呈現成交量異常放大、報酬波動增加，以及價格反轉的現象，且都僅集中發生於收盤前五分鐘，而非全日其他任何時段。從指數現貨角度觀察，顯示台灣市場顯著受到摩台指期貨到期日的影響，也驗證業界經常盛傳的『結算行情』確實存在。
其次，由檢定響影到期日效應強度的迴歸結果發現，期貨未平倉量能夠顯著詮釋指數異常成交量的消長，但基差、季月契約兩自變數與指數的價格效果的關聯性較不顯著，這表示頻繁的指數套利平倉活動並未是產生摩台指到期日效應的唯一因素。而且改以收盤前五分鐘集合競價來決定期貨最後結算價的結算制度，並未顯著降低到期日效應，表示集合競價吸納買賣單失衡的作用有限。
最後，從成份個股在到期日的表現發現，在收盤前五分鐘，個股平均的價格反轉幅度在多數報酬配對組中都大於指數的價格反轉幅度，顯示成份股價格的變動方向是不一致的。而且不論權值大小，所有成份股皆呈現成交量放大，但只有對指數最具影響力的最高權值成份股具有顯著異常高的報酬波動和價格反轉現象。到期日對成份股產生明顯不同的價格衝擊，表示價格操縱者極有可能運用集中交易最高權值成份股，企圖影響指數收盤價格，以利先前建立的部位獲利，因此台灣市場的到期日效應可能也源自價格操縱。
A number of studies on expiration-day effects have found that the behavior of spot trading volume and price is affected by expiration. Most of them focus on the index spot, but far less research investigates the effects on individual index stocks. In addition to the effects on MSCI-TW index spot, therefore, this research focuses on the behavior of individual stocks around the expiration period and the major factors inducing expiration-day effects.
To address above issues, a three-phase method of this study is designed: First, we use the comparison-period approach (CPA) as Masulis (1980) did, comparing the volume, return volatilities, and price reversals of index spot and non-index spot, to examine whether the expiration days lead to abnormal behavior in spot market. Second, this study evaluates the extent to which the expiration-days effects affect individual index stocks, and whether the extent is related with their daily weights. Third, we use the regression model to analyze the extent to which the abnormal behavior of the MSCI-TW index around expiration days can be explained by index arbitrage activities and the change of final settlement system. Since manipulators may have attempted to influence the final settlement index price by placing heavy pressure on the highest-weighted stock or few large-cap stocks, in order to benefit their futures positions. Hence, we examine the possibility of price manipulation from the different behavior of individual stocks on expiration days by CPA.
Three interesting findings emerged from the above process are presented as follows: First, the MSCI-TW index experience abnormally large volume, return volatility and price reversals only during the last 5-minute trading interval on expiration day, not all day long. The results show that the futures expiration days bring a substantial impact on Taiwan stock market, and verifies the existence of the expiration-day effect.
Second, the empirical results from the regression model suggest that the significantly abnormal volume effects could be explained by open interests of futures. However, the abnormal price effects have been much less correlated with futures basis and quarterly delivery months. It indicates that the unwinding of index arbitrage is not the only influential factor to the expiration-days effects. The study also finds that the closing call procedure fails to absorb the large order imbalance around expiration period, so it fails to mitigate the expiration-day effects.
Finally, the results of the effects on individual stocks show that in the last 5 minutes before expiration the average magnitude of price reversals of individual stocks are greater than this of index, which indicates price changes of MSCI-TW constituent stocks on expiration days are far from uniform. Although, regardless of their size, the abnormal volume is common to all index stocks, only the highest-weighted stock experiences both significant high volatility and price reversal effects. The disproportionate price effects on the highest-weighted stocks imply that price manipulators have attempts to affect the final settlement index price thus benefit their futures positions. Therefore, the price manipulation may also ascribe to the expiration-day effects in Taiwan.
1.李見發、林裕榮與陳秀綾 (2005)，「台灣股價指數期貨及摩根台股期貨到期日效應之因素研究」，財金論文叢刊，第3期，頁51-76。new window
2.林子傑 (2006)，「提前平倉與轉倉策略對股價指數期貨到期日效應之實證：以台灣股票市場為例」，中央大學財務金融研究所碩士論文。
3.闕河士與楊德源 (2005)，「股價指數期貨到期日效應之實證:以台灣股票市場為例」，財務金融學刊，第13卷 (8月)，頁71-96。
4.Alkeback, Per and Niclas Hagelin (2004), “Expiration Day Effects of Index Futures and Options: Evidence from a Market with a Long Settlement Period,” Applied Financial Economics, 14 (March-April), 385-396.
5.Aggarwal, Reena (1988), “Stock Index Futures and Cash Market Volatility,” Review of Futures Markets, 7, 290-299.
6.Barone-Adesi, Giorgio and D. Cry (1992), “Effects of Expiring Index Options and Futures on Toronto 35 Index,” Working Paper, University of Alberta.
7.Bollen, Nicolas P. B. and Robert E. Whaley (1999), “Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?,” Pacific-Basin Finance Journal, 7, 453-470.
8.Brockman, Paul, Dennis Y. Chung and Christophe Perignon (2008), “Commonality in Liquidity: A Global Perspective,” Journal of Finance and Quantitative Analysis, forthcoming.
9.Chamberlain, Trevor W., Sherman C. Cheung and Clarence C. Y. Kwan (1989), “Expiration Day Effects of Index Futures and Options: Some Canadian Evidence,” Financial Analysts Journal, 45 (September-October), 67-71.
10.Chou, Heng-Chih, Wei-Ning Chen and Dar-Hsin Chen (2006), “The Expiration Effects of Stock Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange,” Emerging Markets Finance and Trade, 42 (September-October), 81-102.
11.Chow, Ying-Foon, Haynes H. M. Yung and Hua Zhang (2003), “Expiration Day Effects: the Case of Hong Kong,” The Journal of Futures Markets, 23 (January), 67-86.
12.Chuang, Chin-Lin, Dar-Hsin Chen and Chung-Hsien Su (2008), “Reexamining the Expiration Day Effects of Stock Index Derivatives: Evidence from Taiwan,” The International Journal of Business and Finance Research, 2, 85-105.
13.Chung, Huimin and Mei-Maun Hseu (2008), “Expiration Day Effects of Taiwan Index Futures: The Case of the Singapore and Taiwan Futures Exchanges,” Journal of International Financial Markets, Institutions and Money, 18 (April), 107-120.
14.Comerton-Forde, Carole and James Rydge (2006a), “Call Auction Algorithm Design and Market Manipulation,” Journal of Multinational Financial Management, 16, 184-198.
15.----and----(2006b), “The Influence of Call Auction Algorithm Rules on Market Efficiency,” Journal of Financial Markets, 9 (May), 199-222.
16.Corredor, Pilar, Pedro Lechon and Rafael Santamaria (2001), “Option-expiration Effect in Small Markets: the Spanish Stock Exchange,” The Journal of Futures Markets, 21 (October), 905-928.
17.Daigler, Robert T. (1997), “Intraday Futures Volatility and Theories of Market Behavior,” The Journal of Futures Markets, 17 (February), 45-74.
18.Economides, Nicholas and Robert A. Schwartz (1995), “Electronic Call Market Trading,” Journal of Portfolio Management, 21 (Spring), 10-18.
19.Edwards, Franklin R. (1988), “Does Futures Trading Increase Stock Market Volatility?,” Financial Analysts Journal, 44 (January-February), 63-69.
20.Fung, Joseph K.W. and Haynes H.M. Yung (2009), “Expiration-Day Effects-An Asian Twist,” The Journal of Futures Markets, 29, 430-450.
21.Hancock, Gerald D. (1993), “Whatever Happened to the Triple Witching Hour?,” Financial Analysts Journal, 49 (May-June), 66-72.
22.Herbst, Anthony F. and Edwin D. Marbely (1990), “Stock Index Futures, Expiration- day Volatility, and the Special Friday Opening: a Note,” The Journal of Futures Markets, 10 (June), 323-325.
23.Holthausen, R. R. Leftwich and D. Mayers (1987), “The Effect of Large Block Transactions on Security Prices,” Journal of Financial Economics, 19, 237-267.
24.Hsieh, Shu-Fan and Tai Ma (2008), “Expiration-day Effects: Does Settlement Price Matter?,” International Review of Economics and Finance, forthcoming.
25.Illueca, Manuel and Juan A. LaFuente (2006), “New Evidence on Expiration-day Effects Using Realized Volatility: An Intraday Analysis for the Spanish Stock Exchange,” The Journal of Futures Markets, 26 (September), 923-938.
26.Jarrow, R. A. (1994), “Derivative Security Markets, Market Manipulation, and Option Pricing Theory,” Journal of Financial and Quantitative Analysis, 29, 241–261.
27.Kan, Andy C. N. (2001), “Expiration Day Effects: Evidence from High Frequency Data in the Hong Kong Stock Market,” Applied Financial Economics, 11, 107-118.
28.Karolyi, Andrew G. (1996), “Stock Market Volatility around Expiration Days in Japan,” Journal of Derivatives, 4 (Winter), 23-43.
29.Ke, M., C-H. Jiang and Y-S. Huang (2004), “The Impact of Tick Size on Intraday Stock Price Behavior: Evidence from the Taiwan Stock Exchange,” Pacific-Basin Finance Journal, 12, 19-39.
30.Kling, A. (1987), “How the Stock Market can Learn to Live with Index Futures and Options,” Financial Analysts Journal, September/October.
31.Kraus, A. and Hans R. Stoll (1972), “Prices Impacts of Block Trading in the New York Stock Exchange,” Journal of Finance, 27 (June), 569-588.
32.Kumar, P. and D. J. Seppi (1992), “Futures Manipulation with ‘Cash Settlement’,” The Journal of Finance, 47, 1485-1502.
33.Lien, Donald and Li Yang (2003), “Options Expiration Effects and the Role of Individual Share Futures Contracts,” Journal of Futures Markets, 23, 1107-1118.
34.Masulis, R. W. (1980), “The Effects of Capital Structures Change on Security Prices,” Journal of Financial Economics, 8, 139-178.
35.Pagano, Michael S. and Robert A. Schwartz (2003), “A Closing Call’s Impact on Market Quality and Euronext Paris,” Journal of Financial Economics, 68 (June), 439-484.
36.Parkinson, Michael (1980), “The Extreme Value Method for Estimating the Variance of the Rate of Return,” The Journal of Business, 53 (January), 61-65.
37.Pope, Peter F. and Pradeep K. Yadav (1992), “The Impact of Expiration on Underlying Stocks: the UK Evidence,” Journal of Business Finance and Accounting, 19 (April), 329-344.
38.Schlag, Christian (1996), “Expiration Day Effects of Stock Index Derivatives in Germany,” European Financial Management, 2 (March), 69-95.
39.Scholes, Myron S. (1972), “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices,” Journal of Business, 45 (April), 179-211.
40.Stoll, Hans R. (1988), “Index Futures, Program Trading and Stock Market Procedures,” The Journal of Futures Markets, 8, 391-412.
41.Stoll, Hans R. and Robert E. Whaley (1986), “Expiration Day Effects of Index Options and Futures,” in Monograph Series in Financial Economics, Stern School of Business, New York University, 89-89.
42.----and----(1987), “Program Trading and Expiration-day Effects,” Financial Analysts Journal, 43 (March-April), 16-28.
43.----and----(1990), “Program Trading and Individual Stock Returns: Ingredients of the Triple-witching Brew,” Journal of Business, 63 (January), S165-S192.
44.----and----(1991), “Expiration Day Effects: What Has Changed?,” Financial Analysts Journal, 47 (January-February), 58-72.
45.----and----(1997), “Expiration-day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures,” Australian Journal of Management, 22 (December), 139-174.
46.Swidler, Steve, Lisa Schwartz and Roger Kristiansen (1994), “Option Expiration Day effects in Small Markets: Evidence from the Oslo Stock Exchange,” Journal of Financial Engineering, 3 (June), 177-195.
47.Vipul, (2005), “Futures and Options Expiration-day Effects: the Indian Evidence,” The Journal of Futures Markets, 25 (November), 1045-1065.
48.Wang, M-C., L-P. Zu and C-J. Kuo (2004), “Anatomy of Bid-ask Spreads: Empirical Evidence from an Order Driven Market,” Working paper.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：609（臺灣：606，外國：3） ／ 本年度總使用人次：1885225 ／ 訪客人次（自102年09月）：67679933
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上