臺灣博碩士論文加值系統

近年來，在金融國際化及自由化的趨勢下，衍生性金融商品日新又新，尤其是指數期貨上市對股票市場的生態產生了相當程度地衝擊。許多實證研究結果顯示，當期貨到期時會導致現貨市場產生不正常的交易行為，此現象即為大家所熟知的到期效應（expiration effect）。本論文主要運用OLS、EGARCH、GJR、WHITE異質變異數模型及價格反轉(Price Reversal )分析探討摩根台灣股價指數期貨到期所產生的到期效應對摩根現貨指數（MSCI）及其成份股（component stocks）在報酬率、波動性、及成交量三方面的影響。希望藉此研究台灣小型市場的到期效應，使國內股票市場的參與者了解期貨到期效應對股價行為的影響，以避開潛在的風險及提高獲利的機會。樣本的選取係自九十家上市公司所組成的摩根台股指數中以權值最大及滿足研究期間為原則，共選取台積電、聯電等九家成份股，並在此原則下，選取非成份股精英、華泰等五家作為橫斷面控制組，再將研究期間向前延伸五年作為縱斷面控制組，以使研究結論更為客觀、正確。為更瞭解研究期間內投資人的行為，本研究以平均成交量最大差異為原則再將研究期間（86.1.19~91.3.28）根據平均成交量分成前期（86.1.9~88.7.20），與後期（88.7.21~91.3.28）。研究結果發現： (一)在報酬方面，到期效應對權值最大的台積電、聯電有特別顯著的影響，尤其是到期日當天，顯示法人可能具有操控權值大的股價以影響期貨結算價的企圖。(二)就波動性而言，在到期效應影響下，到期日當天波動性會增加，到期日前波動性會減少。(三)在成交量方面，到期效應對成交量的影響明顯比報酬及波動性更大更廣泛，且個股的影響比指數大；對權值大的個股影響較小；到期日前的影響比到期日當天大。(四)由橫斷面控制組實證結果發現，摩根台股指數期貨的到期效應會影響整個股市而非只有摩根成份股而已。(五)由縱斷面控制組實證結果發現，沒有期貨交易時亦有少數到期效應的現象，此乃研究模型的限制。(六)由實驗組及控制組實證結果顯示，均無到期日價格反轉效應，到期日效應對價格的影響並不延續至到期日次日。此外，本研究實證結果發現，不論指數或個股，到期日前有明顯報酬負向、波動性降低、及成交量萎縮的現象，顯示台灣股市投資人對摩根台股指數期貨到期效應的反應，傾向於賣出持股退場觀望的態度。由於賣出持股造成賣壓產生負向報酬，而因退場觀望使得波動性降低及成交量萎縮。

Abstract
Recently, in the trend of financial international and freedom, derivatives products were created more and more than before, especially in index futures. The trading of index futures has significantly impact on stock markets. There are many empirical studies show that stock markets will have abnormal behavioral when index futures expire. This is known as the expiration effect.
This study uses OLS、EGARCH、GJR、 White’s Heteroskedasticity and Price Reversal Model to analyze the effect of the expiration of the index futures in the return, conditional volatility, and trading volume of the underlying assets. We hope this study will help investors understand how expiration effect influence the behavior of stocks in order to avoid potential risk and to enhance the profit opportunities.
The selection of samples is from ninety listed companies that has the principals of heavy weight on index future in the period of the research. We selected TSMC、UMC and others, totally nine companies as our samples. In the same principles, we selected ECS and OSE etc., totally five companies to be the control group in the horizontal period. Moreover, we extended the study period to five more years before futures started trading as the control group in the vertical period. That will let the conclusion more objective and accuracy.
The conclusions of this study are: (1) In return, expiration effect have significant effects on TSMC and UMC, especially on expiration day. This indicates that institutional investors will control heavy weighted stocks in order to influence future price. (2) In the influence of expiration effect, the conditional volatility of the individual stocks increased on expiration day and decreased before expiration day. (3)In trading volume, the impact of expiration effect is greater than return and conditional volatility. Moreover, the impact of expiration effect is greater in stock than in index and is less in heavy weighted stocks, and the influence of expiration day is greater than the day before expiration day. (4)According to the study of the control group in the horizontal period, the expiration effect of stock index futures will influence the whole stocks market not only Morgan Stanley component stocks. (5)According to the study of the control group in the vertical period, there is still some expiration effect on some stocks even no index futures trading. (6)Observation group and control group show no price reversal. This evidence indicates the expiration effect wills not extent to the day after expiration.
Moreover, the study showed, no matter index or stock, there are negative return, less volatility and trading volume before expiration day. This indicates that investors tend to sell their stocks and to observe market for a while. The negative return is because of selling their holdings from investors；the less volatility and volume is because of the retreat of investors.

目 錄
目錄----------------------------------------------------------I
圖次---------------------------------------------------------III
表次----------------------------------------------------------IV
第壹章 緒論-------------------------------------------------1
第一節 研究背景與動機---------------------------------------1
第二節 研究目的---------------------------------------------2
第三節 論文架構---------------------------------------------3
第四節 研究限制---------------------------------------------5
第貳章 文獻探討---------------------------------------------6
第一節 國外文獻探討-----------------------------------------6
第二節 國內文獻探討-----------------------------------------7
第參章 研究方法-------------------------------------------13
第一節 資料來源與說明--------------------------------------13
第二節 實證資料處理----------------------------------------15
第三節 研究流程--------------------------------------------16
第四節 恆定性檢定------------------------------------------18
第五節 ARCH效果檢定----------------------------------------20
第六節 OLS實證模型-----------------------------------------23
第七節 WHITE異質變異數實證模型-----------------------------25
第八節 EGARCH實證模型--------------------------------------26
第九節 GJR實證模型-----------------------------------------28
第十節 價格反轉模型(Price Reversal model)------------------30
第肆章 實證結果分析-----------------------------------------32
第一節 資料初步分析與恆定性檢定----------------------------32
第二節 ARCH效果檢定----------------------------------------44
第三節 條件報酬到期效應影響分析----------------------------53
第四節 條件變異數到期效應影響分析--------------------------58
第五節 成交量到期效應影響分析------------------------------62
第六節 控制組到期效應影響分析------------------------------67
第伍章 結論與建議-------------------------------------------74
第一節 研究結論---------------------------------------------74第二節 後續研究建議-----------------------------------------76
參考文獻-----------------------------------------------------77
附註：相關主題介紹-------------------------------------------81

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