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研究生:林統民
研究生(外文):Lin, Tungmin
論文名稱:影響台股指數期貨結算報酬之研究
論文名稱(外文):A Study on the Settlement Effects of Returns of Taiwan Stock Index Futures
指導教授:王凱立王凱立引用關係
指導教授(外文):Wang, Kaili
口試委員:林江峰魏清圳蔡政言徐啟升
口試委員(外文):Lin, ChiangfengWei, ChingchunTsai, JengyanHsu, Chisheng
口試日期:2012-07-17
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系碩士在職專班
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:2012
畢業學年度:100
語文別:中文
論文頁數:53
中文關鍵詞:台股指數期貨異常報酬到期日效應
外文關鍵詞:Taiwan Stock Index FuturesAbnormal returnExpiration effect
相關次數:
  • 被引用被引用:1
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  • 下載下載:7
  • 收藏至我的研究室書目清單書目收藏:1
本研究檢視台股期貨指數合約到期結算時,是否存在台指期貨、現貨指數異常報酬及台指現貨異常成交量之現象,並探討影響期貨結算報酬之因素,依市場績效面、交易活動面、衍生性商品面及整體構面下進行分析,從不同構面反映投資人在到期日期貨結算時的決策情境。實證結果指出,台指期貨及現貨指數報酬存在報酬顯著增加,而台指現貨成交量出現異常放大等現象。其次,在探討影響到期日期貨結算報酬之因素,實證結果顯示,在市場績效面,到期日前二天期貨報酬呈現負向顯著關係,到期日價差(結算制度改變前)呈正向顯著相關。在交易活動面,S&P指數前一日報酬上漲,台幣升值將有助台指期貨結算價格上揚。在衍生性商品面,賣買權未平倉量選擇權比率變動量提高時,到期日期貨結算報酬因而受此影響而上揚。
There exists a universal phenomenon in the spot and future market that abnormal return and turnover would emerge at the delivery time of the forward contracts due to the fact that the latter are settled in cash. This study tends to investigate whether this phenomenon is also true for the Taiwan stock index. Moreover, it explores the underlying factors that affect the forward return from the perspectives of market performance, trading activities, derivative commodities and the whole market structure, which are expected to reflect the investors’ decision making at the delivery. Empirical result indicates that the returns of Taiwan stock index and the index future are significantly increasing and the turnover of the latter is even unusually expanding. As for the factors accounting for the settlement return, it is negatively correlated between the returns two days before the due time whereas the spread is positively correlated. In terms of trading activities, the return on S&P index picks up the day before the delivery and the appreciation of the New Taiwan dollar is in favor of the increase in the settlement price of the Taiwan stock index future. As to the derivative commodities, the increase in the variation of the put-call open interest ratio would result in the increase in the settlement return.
中文摘要 I
英文摘要 II
目 錄 III
表 目 錄 IV
圖 目 錄 IV
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第二章 文獻回顧 6
第一節 到期日結算效應相關文獻 6
第二節 影響到期日結算效應因素之相關文獻 10
第三章 研究方法與模型設定 15
第一節 台指期貨之到期日與結算日 15
第二節 到期日報酬、交易量之差異性檢定 17
第三節 單根檢定 22
第四節 影響到期日期貨結算報酬之實證模型 25
第四章 實證結果與分析 37
第一節 資料來源與資料描述 37
第二節 到期日報酬、交易量之差異性檢定實證結果與分析 41
第三節 影響到期日台指期貨結算報酬之實證結果分析 44
第五章 結論與建議 48
第一節 研究結論 48
第二節 研究建議 49
參考文獻 50

一、中文文獻
于士媛 (2003),「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」,銘傳大學財務金融學系碩士論文。
吳明修 (1999),「摩根台股指數期貨到期日效應對股票市場之影響」,高雄第一科技大學金融營運所碩士論文。
吳鎮宏 (2004),「大額委託單對台股指數期貨最後結算價之影響」,高雄第一科技大學金融營運所碩士論文。
李見發、林裕榮與陳秀綾 (2005),「台灣股價指數期貨及摩根台股期貨到期日效應之因素研究」,財金論文叢刊,第3 期,頁51-76。
林世釗 (2003),「台灣股價指數現貨、期貨及摩根台灣股價指數期貨到期效應之研究」,國立台北大學企業管理系碩士論文。
林榮裕 (2005),「台灣股價指數期貨及摩根台指期貨到期效應之因素研究」,朝陽科技大學財務金融所碩士論文。
林子傑 (2006),「提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例」,中央大學財務金融研究所碩士論文。
洪舜華 (2002),「摩根台灣股價期貨指數到期效應對股票市場的影響」,國立台北大學企業管理系碩士論文。
陳仕偉、陳俊偉 (2006),「台灣股票及外匯市場價量非線性因果關係之探討」,經濟與管理論叢,第二卷,第一期,頁21-51。
陳國民 (2004),「指數期貨到期日之報酬反轉及波動效果日內效應之研究」,淡江大學財務金融所碩士論文。
陳啟明 (2001),「期貨結算對權值股之探討及期貨、現貨價格變動率對權值股之影響」,淡江大學管理科學所碩士論文。
黃佐銘 (2004),「摩根台指現貨與期貨到期效應之實證研究」,朝陽科技大學財務金融所碩士論文。
黃豐南 (2006),「指數期貨結算日的價格操縱現象:以台灣股價指數期貨和新加坡摩根台指期貨為例」,雲林科技大學財務金融研究所碩士論文。
蔡垂君 (2003),「台灣股價指數期貨與現貨之實證研究」,國立台北大學企業管理學系博士論文。
闕河士、楊德源 (2005),「股價指數期貨到期日效應之實證:以台灣股票市場為例」,財務金融學刊,第13卷,頁71-96。

二、英文文獻
Aggarwal, Reena, 1988. "Stock Index Futures and Cash Market Volatility." Review of Futures Markets, 7, 290-299.
Alkeback, P. and Hagelin N., 2004. "Expiration Day Effects of Index Futures and Options: Evidence from a Market with a Long Settlement Period." Applied Financial Economics, 14 (March-April), 385-396.
Arago, V. and Fernandez, A., 2002. "Expiration and Maturity Effect: Empirical Evidence from the Spanish Spot and Futures Stock Index." Applied Economics, 34(13), 1617-26.
Barone-Adesi, Giorgio and Cry D., 1992. "Effects of Expiring Index Options and Futures on Toronto 35 Index." Working Paper, University of Alberta.
Board, J.L.G. and Sutcliffe, C.M.S., 1990. "Information, Volatility, Volume and Maturity:an Investigation of Stock Index Futures. Review of Futures Markets, 9(3), 533-549.
Bollen, N. P. B. and Whaley, R. E., 1999. "Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?" Pacific-Basin Finance Journal, 7(5), 453-470.
Chamberlaim, T.W., Cheung, S.C. and Kwan, C.C.Y., 1989. "Expiration day effect of index futures and options:Some Canadian evidence." Financial Analysts Journal, 45(5), 67-71.
Chen, Y., Duan, J. and Hung, M., 1999. Volatility and Maturity Effect in the Nikkei225 Index Futures." Journal of Futures Markets, 19, 895-909.
Chou, H.C., Chen, W.N. and Chen, D.H., 2006. "The Expiration Effects of Stock Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange." Emerging Markets Finance and Trade, 42 (September-October), 81-102.
Chow, Y.F., Haynes Yung H.M. and Zhang H., 2003. "Expiration Day Effects: the Case of Hong Kong." The Journal of Futures Markets, 23 (January), 67-86.
Chuang, C.L., Chen D.H. and Su C.H., 2008. "Reexamining the Expiration Day Effects of Stock Index Derivatives: Evidence from Taiwan." The International Journal of Business and Finance Research, 2, 85-105.
Chung, H. and Hseu M.M., 2008. "Expiration Day Effects of Taiwan Index Futures: The Case of the Singapore and Taiwan Futures Exchanges." Journal of International Financial Markets, Institutions and Money, 18 (April), 107-120.
Comerton-Forde, Carole and Rydge J., 2006. "Call Auction Algorithm Design and Market Manipulation." Journal of Multinational Financial Management, 16, 184-198.
Comerton-Forde, Carole and Rydge J., 2006. "The Influence of Call Auction Algorithm Rules on Market Efficiency." Journal of Financial Markets, 9 (May), 199-222.
Corredor, P., Lechon P. and Santamaria R., 2001. "Option-expiration Effect in Small Markets: the Spanish Stock Exchange." The Journal of Futures Markets, 21 (October), 905-928.
Daigler, Robert T., 1997. "Intraday Futures Volatility and Theories of Market Behavior." The Journal of Futures Markets, 17 (February), 45-74.
Economides, Nicholas and Robert A. Schwartz, 1995. "Electronic Call Market Trading."Journal of Portfolio Management, 21 (Spring), 10-18.
Edwards, F.R., 1988. "Futures Trading and Cash Market Volatility:Stock Index and Interest Rate Futures." Journal of Future Markets, 8(4), 421-439.
Edwards, Franklin R., 1988. "Does Futures Trading Increase Stock Market Volatility?" Financial Analysts Journal, 44 (January-February), 63-69.
Fung, Joseph K.W. and Haynes H.M. Yung, 2009. "Expiration-Day Effects-An Asian Twist." The Journal of Futures Markets, 29, 430-450.
Hancock, Gerald D., 1993. "Whatever Happened to the Triple Witching Hour?" Financial Analysts Journal, 49 (May-June), 66-72.
Hsieh, S.F. and Ma T., 2008. "Expiration-day Effects: Does Settlement Price Matter?" International Review of Economics and Finance, forthcoming.
Illueca, M. and La Fuente J.A., 2006. "New Evidence on Expiration-day Effects Using Realized Volatility: An Intraday Analysis for the Spanish Stock Exchange" The Journal of Futures Markets, 26 (September), 923-938.
Jarrow, R.A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory?". Journal of Financial and Quantitative Analysis, 3, 2-18.
Karolyi, A.G., 1996. "Stock market volatility around expiration days in Japan." Journal of Derivatives, 4, 23-43.
Klemkosky, R.C., 1978."The impact of option expirations on stock prices." Journal of Financial and Quantitative Analysis, 507-518.
Lien, Donald and Li Yang, 2005. "Options Expiration Effects and the Role of Individual Share Futures Contracts." Journal of Futures Markets, 23, 1107-1118.
Maniar, H.M., Rajesh Bhatt, and Dharmesh M. Maniyar, 2009. "Expiration hour effect of futures and options markets on stock market — a case study on NSE (National Stock Exchange of india)." International Review of Economics and Finance, 18, 381-391.
Samuelson, P.A., 1965. "Proof that Properly Anticipated Prices Fluctuate Randomly." Industrial Management Review, 6, 41-49.
Stoll, H.R. and Whaley R. E., 1986. "Expiration Day Effects of Index Options and Futures." in Monograph Series in Financial Economics, Stern School of Business, New York University, 89-89.
Stoll, H.R. and Whaley, R.E., 1987. "Program trading and expiration-day effects." Financial Analysts Journal, (March-April), 16-28.
Stoll, H.R. and Whaley, R.E., 1990. "Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew." Journal of Business, 63, 165-192.
Stoll, H.R. and Whaley, R.E., 1991. "Expiration-day effects: What has changed?" Financial Analysts Journal, 58-72.
Stoll, H.R. and Whaley, R.E., 1997. "Expiration-day effects of the All Ordinaries Share Price Index Futures:Empirical evidence and alternative settlement procedures." Australian Journal of Management, 22, 139-174.
Vipul, 2005. "Futures and Options Expiration-day Effects: the Indian Evidence." The Journal of Futures Markets, 25 (November), 1045-1065.
Yadav P. K., Pope, P., 1992. "Intraweek and Intraday Seasonalities in Stock Market Risk Premia: Cash vs. Futures." Journal of Banking and Finance, 16, 233-27.

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