臺灣博碩士論文加值系統

全球期貨及其他衍生性商品市場日益蓬勃發展，而股票期貨堪稱是1982 年股價指
數期貨推出之後，股權類衍生性商品的另一項明星商品。美國國會「兩千年商品期貨
現代化法案」（Commodity Futures Modernization Act of 2000, CFMA）對於股票期貨發
行的解禁後才逐具規模。由於股票期貨具有成本低廉、操作靈活及更具效率之特性，
已成為開發中國家交易所之明星商品。而到期效應是指期貨與選擇權到期結算的時刻
對其現貨標的之衝擊，造成現貨市場價格、波動、與交易量異常的現象，而這些異常
的現象，是全球主要金融市場投資人及監理單位熱切關注的重要議題。
過去對於到期效應的研究當中多為指數期貨的到期效應，研究重心也著重於美國
市場，本研究蒐集了台灣期貨交易所三檔股票期貨資料（台積電、鴻海、聯發科），資
料期間為2010 年六月到2012 年十月的日資料，共29 個到期日，引入EGARCH 模型，
並設計虛擬變數，檢視在到期前五天，股票現貨報酬率、股票期貨報酬率、期貨及現
貨的交易口數和成交值以及基差是否有異常的變異及波動不對稱情形。更進一步地，
本研究設計未平倉量和到期日的交互作用虛擬變數檢視以上變數是否存在到期效應。
研究果顯示，台積電及聯發科之各變數均有顯著異常報酬及波動不對稱之情形，
相對之下，鴻海的到期效應則不太明顯。而未平倉量為一到期效應之重要門檻。

Global futures and other derivatives market has bloomed in recent years. Single
stock futures is another golden cow of equity derivatives since the index futures
established in 1982. Single stock futures have reached scale since the U.S congress
imposed Commodity Futures Modernization Act of 2000 and lift a ban of single stock
futures. Because of the characteristic of low cost, easy to long or short and more
efficiency, it has become a popular financial product in the exchange of emerging
market. The expiration effect is the impact to abnormal spot market price, volatility
and trading volume due to its futures and options expire on settlement day. And these
abnormal phenomenon is an important issue focused by global financial market
investors and regulation department. Former researches on expiration effect mostly
focus on index futures in U.S market but single stock futures. This research we collect
three of single stock futures trading in the Taiwan Futures Exchange. The daily data
we use is during 2010 June to 2012 October, 29 expiration day as total. We induct
EGARCH model and design dummy variables in order to investigate whether there
exist abnormal return and volatility asymmetric. Furthermore, we design a interactive
effect dummy variable between open interest and the due date to see whether there
exist expiration effect. The empirical result show that does exist significant volatility
asymmetric in expiration day or before expiration day.

第一章 緒論............................................................................................. 1
第一節 單一股票期貨簡介 ............................................................. 1
第二節 到期效應 .............................................................................. 3
第三節 研究動機與目的.................................................................. 5
第二章 文獻探討 .................................................................................... 7
第一節 單一股票期貨相關文獻 ..................................................... 7
第二節 到期效應相關文獻探討 ..................................................... 8
第三節 波動不對稱與EGARCH 模型 ......................................... 11
第三章 研究方法 .................................................................................. 13
第一節 變數定義與研究流程 ....................................................... 13
第二節 敘述統計 ............................................................................ 15
第二節 恆定性檢定–Augmented Dickey-Fuller 單根檢定 ......... 18
第三節 自我相關檢定–Ljung-Box Q 檢定 ................................. 20
第四節 ARCH-LM 檢定 ............................................................... 21
第五節 EGARCH 模型 .................................................................. 22
第六節 虛擬變數 ............................................................................ 24
第四章 實證分析 .................................................................................. 25
第一節 敘述統計 ............................................................................ 25
第二節 序列相關檢定結果 ........................................................... 39
第三節 單根檢定結果 .................................................................... 48
第四節 ARCH-LM 檢定結果 ........................................................ 51
第五節 EGARCH 模型估計結果 .................................................. 54
第五章 研究結論與建議 ...................................................................... 67
第一節 研究結論 ............................................................................ 67
第二節 研究限制與建議................................................................ 69
參考文獻 ................................................................................................... 71

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