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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
書刊名：東吳經濟商學學報
作者：陳佳政／陳政位／黃金生 引用關係
作者(外文)：Chen, Chia-cheng／Chen, Cheng-wei／Huang, Chin-sheng
出版日期：2009
卷期：65
頁次：頁49-81
主題關鍵詞：到期日效應；市場結構；指數套利；Expiration-day effects；Market structure；Index arbitrage
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:18
  • 點閱點閱:75
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.
期刊論文
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4.Hancock, Gerald D.(1993)。Whatever Happened to the Triple Witching Hour?。Financial Analysts Journal，49，66-72。  new window
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10.Chou, H. C.、Chen, W. N.、Chen, D. H.(2006)。The Expiration Effects of Stock-index Derivatives。Emerging Markets Finance and Trade，42(5)，81-102。  new window
11.Stoll, Hans R.、Whaley, Robert E.(1997)。Expiration-day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures。Australian Journal of Management，22(2)，139-174。  new window
12.Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives，4(2)，23-43。  new window
13.Alkebäck, P.、Hagelin, N.(2004)。Expiration Day Effects of Index Futures and Options: Evidence From a Market With a Long Settlement Period。Applied Financial Economics，14(6)，385-396。  new window
14.Chow, Ying-Foon、Yung, Haynes H. M.、Zhang, Hua(2003)。Expiration day effects: The case of Hong Kong。Journal of Futures Markets，23(1)，67-86。  new window
15.Herbst, Anthony F.、Maberly, Edwin D.(1990)。Stock Index Futures, Expiration Day Volatility, and the "Special" Friday Opening: A Note。Journal of Futures Markets，10(3)，323-325。  new window
16.Maberly, Edwin D.、Herbst, Anthony F.(1991)。An Alternative Methodology for Measuring Expiration Day Price Effects at Friday's Close: The Expected Price Reversal--A Note。The Journal of Futures Markets，11(6)，751-754。  new window
17.Kan, A. C. N.(2001)。Expiration-Day Effect: Evidence From High-Frequency Data in The I long Kong Stock Market。Applied Financial Economics，11，107-118。  new window
18.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal，43(2)，16-28。  new window
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20.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica，41(1)，135-155。  new window
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22.Tauchen, G. E.、Pitts, M.(1983)。The price variability-volume relationship on speculative markets。Econometrica，51(2)，485-506。  new window
23.Shleifer, Andrei(1986)。Do Demand Curves for Stocks Slope Down?。Journal of Finance，41(3)，579-590。  new window
24.Andersen, Torben G.、Bollerslev, Tim(1997)。Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns。The Journal of Finance，52(3)，975-1005。  new window
25.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association，96(453)，42-55。  new window
26.Corredor, P., P. Lechon, and R. Santamaria(2001)。“Option Expiration Effects in Small Markets: The Spanish Stock Exchange”。Journal of Futures Markets，21，905-928。  new window
27.Harris, L. and E. Gurel(1986)。“Price and Volume Effects Associated with Changes in the S&P 500: New Evidence for the Existence of Price Pressures”。Journal of Finance，41，815-829。  new window
28.Klemkosky, R. C.(1978)。The Impact of Option Expirations on Stock Prices。Journal of Financial and Quantitative Analysis，13，507-518。  new window
29.Kling, A.(1987)。“How the Stock Market Can Learn to Live with Index Futures and Options”。Financial Analysts Journal，43，33-39。  new window
30.Martens, M., Y.C. Chang, and S. J. Taylor(2002)。“A Comparison of Seasonal Adjustment Methods When forecasting Intraday Volatility”。Journal of Forecasting Research，25，283-299。  new window
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32.Pope, P. F. and P. K. Yadav(1992)。“The Impact of Option Expiration on Underlying Stocks: The UK Evidence”。Journal of Business Finance & Accounting，19,no.3，329-344。  new window
33.Schlag, C.(1996)。Expiration Day Effects of Stock Index Derivatives in Germany。European Financial Management，1，69-95。  new window
34.Swidler, S., L. Schwartz, and R. Kristiansen(1994)。“Option Expiration Day Effects in Small Mark: Evidence From the Oslo Stock Exchange”。Jounal of Fiancial Engineering，3，177-195。  new window
會議論文
1.Martens, S. L.(2001)。“Operationally Deploying Six Sigma”751-755。  new window
研究報告
1.Mayhew, S.(2000)。“The Impact of Derivative on Cash Markets:What HaveWe Learned? ”。  new window
學位論文
1.蔡垂君(2003)。臺灣股價指數期貨與現貨之實證研究(博士論文)。國立臺北大學。new window  延伸查詢new window
圖書
1.Hollander, Myles、Wolfe, Douglas A.(1999)。Nonparametric Statistical Methods。New York, NY：John Wiley & Sons。  new window
2.Fama, E. F.(1987)。“Black Monday and the Future of Financial Markets,”。Homewood, IL.。  new window
3.Stoll, H. R. and R. E.Whaley(1986)。“Expiration Day Effects of Index Options and Futures”。Monograph Series in Finance and Economics。  new window
 
 
 
 
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