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研究生:于士媛
研究生(外文):YU SHIH YUAN
論文名稱:期貨與選擇權到期效應之研究-以TAIFEX股價指數期貨及指數選擇權為例
論文名稱(外文):Expirations of Index derivatives Effects-The Case of TAIEX Future and Option
指導教授:周恆志周恆志引用關係杜玉振杜玉振引用關係
指導教授(外文):Dr.Heng-Chih ChouDr.Yu-Chen Tu
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
中文關鍵詞:到期效應價格效果報酬波動率價格反轉異常交易量
外文關鍵詞:Expiration-day effectsprice effectreturn volatilityprice reversalabnormal trading volume
相關次數:
  • 被引用被引用:21
  • 點閱點閱:205
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
文獻中對於到期效應的研究發現,當期貨結算價格是以收盤價格做為基礎者則會產生較大的交易量、異常報酬波動率,以及在最後交易小時會產生價格效果。本文檢驗台灣股價指數期貨、電子類期貨、金融類期貨及小台指期貨與指數選擇權到期時對台灣股票市場的衝擊。檢驗期間為1998年9月到2002年12月。其結果發現無論整段樣本期間或不同區間(即不同商品推出)所得到結果皆相同,指數期貨及選擇權契約到期會使台灣股票市場會產生超額報酬但檢驗結果卻無顯著的異常價格現象,至於異常報酬波動率及異常交量;則沒有證據顯示指數型商品到期時會對台灣股票市場產生異常現象。
References about expiration effect figured out that there would be larger trading volume, abnormal return volatility and price effect when the index future expired at the closing price. This study investigates the impact of TX, TE, TF, MTX and TXO on the stock market in Taiwan. The data period is from 1998/9~2002/12. This study gets the same results with influence of different financial products. The results show that there was no significant abnormal price effect, no abnormal return volatility, and no abnormal trading volume in Taiwan stock market.
頁次
目錄……………………………………………………………..……..Ⅰ
圖目錄…………………………………………………………..……..Ⅱ
表目錄………………….……………………………….……….…….Ⅱ
附表目錄……………………………………………………………....Ⅲ
第一章 緒論…………………………...…………………………....1
第一節 研究動機與背景………………………….………………….1
第二節 研究目的………………………………….…………………..3
第三節 股價指數期貨及選擇權………..…….……………………..4
第四節 研究內容及流程……………………………………………...9
第二章 文獻探討…………………………..…….……………....11
第三章 研究方法………………………...……….……………...16
第一節 研究對象、研究期間與資料來源……..………………...17
第二節 到期效應的衡量指標…………………………...…….….17
第四章 實證結果………………………………….……..……....24
第五章 研究結論……………………………………...………....37
參考文獻……………………………..….………………………...42
中文部分
洪舜華(2001),『摩根臺灣股價期貨指數到期效應對股票市場的影響』,碩士論文,國立台北大學企業管理研究所。
蔡垂君(2002),『台灣股價指數期貨與現貨之實證研究』,博士論文,國立台北大學企業管理研究所。
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