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題名：臺灣牛熊證之到期日效應
書刊名：會計與財金研究
作者：駱武昌 引用關係／婁天威 引用關係／白謦
作者(外文)：Luo, Wu-chang／Lou, Tien-wei／Bai, Ching
出版日期：2015
卷期：8:2
頁次：頁61-82
主題關鍵詞：牛熊證；到期日效應；比較期間法；Callable bull/bear contracts；The expiration day effect；Comparison period approach
原始連結：連回原系統網址new window
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  • 共同引用共同引用:14
  • 點閱點閱:4
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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會議論文
1.Chow, E. H.、Hung, C. W.、Liu, C. S. H.、Shiu, C. Y.(2010)。Expiration Day Effects and Futures Trading Profits: Evidence from Taiwan。23rd Australasian Finance and Banking Conference。  new window
單篇論文
1.Barone-Adesi, G.，Cry, D.(1992)。Effects of expiring index options and futures on Toronto 35 index。  new window
2.Stoll, H. R.，Whaley, R. E.(1986)。Expiration day effects of index options and futures。  new window
 
 
 
 
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