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The Effect of Ex-divident on TAIEX futures Price － A Study of Spreads Due to Roll Over Futures Position
|Issue Date: ||2020-08-03 17:34:23 (UTC+8)|
Due to the feature of futures contracts, a futures contract approaching to maturity needs to be roll-overed to the next near futures contract after the last trading date of the maturity month. The price spread of the two futures would occur during the rollover period. In Taiwan, most companies go ex-dividend in the period of June to August. The purpose of this research is to examine whether the price spread of the last trading date for a TAIEX futures contract in the period of June to August will be significantly different from that in other periods.
Our sample from 2011 to 2018 show that more than eighty percent of companies would go ex-dividend from June to August. The empirical analysis shows that the price spread in the last trading date of June to August is significantly different from that of other maturity months. Moreover, the basis of futures contracts during the June to August period would be lower than that of other months. Based on these findings, we propose a trading rule trying to optimize the reward-risk ratio of an investment strategy.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0107357026|
|Data Type: ||thesis|
|Appears in Collections:||[財務管理學系] 學位論文|
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