臺灣博碩士論文加值系統

本研究探討股票收盤集合競價的制度改變，如何影響期貨價格行為。2002年7月1日，台灣證券交易所將股票收盤集合競價的時間延長；現貨收盤的撮合，由約莫30秒增加為5分鐘。因此，本研究欲探討該交易制度的改變，如何影響期貨的價格行為。本研究採用Wilcoxon 檢定、一般化動差法 (Generalized Method of Moment, GMM)、自我迴歸條件異質變異模型 (Generalized Autoregressive Conditional Heteroskedasticity Model, GARCH Model) 進行實證分析。實證研究發現，撮合時間增加後，(1) 期貨日內價格的型態並未大幅變化，(2) 期貨市場的成交量與波動性型態在現貨市場收盤後有顯著的改變，(3) 利用最後5分鐘的現貨報酬預測期貨最後15分鐘的報酬能力增強，(4) 現貨收盤的價格較接近真實的價格，(5) 期貨收盤的價格較趨近真實的價格。

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly tenfold, from an average of thirty seconds to five minutes. This change presents an opportunity to analyze how a stock closing method affects the behavior of index futures prices. This paper uses the Wilcoxon test, GMM (Generalized Method of Moment), and GARCH model (Generalized Autoregressive Conditional Heteroskedasticity model, GARCH model) to examine the impact of this change on futures price behavior. Empirical results indicate that intraday trading patterns in return volatility and trading volume for futures contracts appear to be U-shaped curves, and that an increase in the length of the batching period affects the return volatility and trading volume of index futures contracts around stock market close. Furthermore, pre-close stock returns have a great impact on extended futures returns when the batching period of the stock closing call is long. Finally, stock and futures closing prices have a tendency towards intrinsic values when the batching period is long.

Chinese Abstract I
English Abstract II
Acknowledgments III
Table of Contents V
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
1.1 Background to the research 1
1.2 Motives and Purposes 3
1.3 Outline of the Dissertation 5
Chapter 2 Literature Review 6
2.1 Stock Price Behavior under Call and Continuous Auctions 6
2.2 Stock Closing Call and Stock Price Behavior 12
2.3 Intraday Pattern of Futures Prices 16
2.4 Comments on Previous Research 22
Chapter 3 Institutional Background and Research Design 23
3.1 Institutional Background 23
3.2 Hypotheses 26
3.4 Measurement of Variables 30
3.4 Regression Models 32
Chapter 4 Empirical Results 39
4.1 Intraday Futures Price Behavior 39
4.2 Futures Price Behavior around Stock Market Close 46
4.3 The Impact of Pre-Close Stock Returns on Extended Futures Returns 52
4.4 Pricy Efficiency: Stock and Futures Closing Prices 59
4.5 Discussion 62
Chapter 5 Conclusion and Future Research 65
5.1 Conclusion 65
5.2 Contributions, Implications, and Future Research 68
References 71
Appendix 1 The Results for Unit-Root Tests 77
Appendix 2 The OLS Results for the Impact of Pre-Close Stock Returns on Extended Futures Returns 88
About the Author 91

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