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研究生： 許義忠
Yi-Chung Hsu
論文名稱： 結算制度與到期日效應
The Settlement Procedure and Expiration-Day Effects
指導教授： 賴弘能
Hung-Neng Lai
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 93
語文別： 英文
論文頁數： 60
中文關鍵詞： 價格反轉 、最後結算價 、結算制度 、到期日效應 、成交量效應
外文關鍵詞： Settlement Procedure, Volume effects, Expiration-Day Effects, Price Reversal, Final Settlement Price
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    • 為了減低指數期貨在結算時異常的股價波動，台灣期貨交易所於2001年的11月將期指的最後結算價由原先的各成份股當日開盤價計算之指數，改成以最後結算日各成分股開盤十五分鐘的成交量加權平均價，訂定最後結算價。這篇論文的研究目的就是要探討在新的結算制度實施後，對到期日效應有何影響。我們利用Stoll and Whaley (1990a) and Stoll and Whaley (1991)這兩篇文章所提出的方法來檢定日內的交易資料。實證結果發現，在結算制度改變之後，到期日效應有減緩的現象，對台指現貨及期貨市場的穩定性與效率性有正面的貢獻，想要利用投資策略在台灣的股票及期貨市場賺取超額利潤是更加困難的。

    In November 2001, in order to reduce abnormal stock price movement when index futures are settled, the Taiwan Futures Exchange (TAIFEX) changed the settlement procedure of the stock index futures from each component stock''s opening price on the final settlement day to the first fifteen-minute volume-weighted average of each component stock''s prices. The purpose of this thesis is to find the influence on expiration-day effects after the new settlement procedure was executed. We use and modify the methods from Stoll and Whaley (1990a) and Stoll and Whaley (1991) to examine intraday transaction data. The objects that we research include TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index), Electronic Sector Index, Finance Sector Index, and their index futures. As the empirical results, We find that the expiration-day effects have mitigated after the settlement procedure changed, and the stability and efficiency in Taiwan stocks and index futures markets are improved. Thus, it becomes more difficult to utilize investment strategies to earn abnormal returns in the Taiwan stocks and index futures markets.

    1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 2 Hypothesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. .. 7 2.1 The types of market participants . . . . . . . . . . . . . . . . . . . . 7 2.2 Market Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 2.3 Scenarios Assumption . . . . . . . . . . . . . . . . . . . . . . . . .. 10 2.4 Summarization . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 3 EmpiricalResults . . . . . . . . . . . . . . . . . . . . . . . .. . .17 3.1 Data set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 3.2 Price Reversals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 3.2.1 Methodology . . . . . . . . . . . . . . . . .. . . . . . . . . . . . 18 3.2.2 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . 19 3.3 Volume Effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 3.3.1 Methodology . . . . . . . . . . . . . . . . . . . . . . .. . . . . . 20 3.3.2 Volume Effects of the Spot Index . . . . . . . . . . . . . . . . . . 21 3.3.3 Volume Effects of the Index Futures . . . . . . . . . . . . . . . . . 22 3.4 Return Volatility . . ... . . . . . . . . . . . . . . . . . . . . . . . 22 3.4.1 Methodology . . . . . . . . . . . . . . . . . . . . . . .. . . . . . 22 3.4.2 Return Volatility of the Spot Index . . . . . . . . . . . . . . . . . 23 3.4.3 Return Volatility of the Index Futures . . . . . . . . . . . . . . . 24 3.4.4 Summary . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . 24 4 Robustness Check. . . . . . . . . . . . . . . . . .. . . . . . . . . . . 25 4.1 Sensitivity Analysis . .. . . . . . . . . . . . . . . . . . . . . . . . 25 4.2 Elimination of Outliers . . . . . . . . . . . . . . . . . . . . . . . . 27 4.2.1 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 4.2.2 Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 4.3 Transaction Tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 5 Conclusions . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . .32 A The Settlement Procedures for the Major Index Futures Markets . . . . .. .34 B The Final Settlement Day and the Final Settlement Price . . . . . . . . . 34

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