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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/130971
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/130971

    Title: 台股除息對台指期換月價差之影響及相關投資策略研究
    The Effect of Ex-divident on TAIEX futures Price - A Study of Spreads Due to Roll Over Futures Position
    Authors: 胡博仁
    Hu, Po-Jen
    Contributors: 岳夢蘭
    Yueh, Meng-Lan
    Hu, Po-Jen
    Keywords: 台灣加權指數期貨
    TAIEX futures
    Price spread
    Date: 2020
    Issue Date: 2020-08-03 17:34:23 (UTC+8)
    Abstract: 台灣加權指數期貨每日平均交易量可達十萬以上,其中又以近月台指加權指數期貨合約最為熱門,市場上的報價也會以近月合約價格為主。但受限於期貨合約特性,該月份到期的期貨合約在最後交易日後,需要進行換約。在過去八年,台灣加權指數成分股多半集中於6~8月份進行除息,而此時換月的期貨契約因而容易產生換月價差。我們認為期貨會提前反應各成分股的除息點數。本論文研究主要透過換月價差及期貨基差,探究期貨合約是否在6~8月份較易因換約而造成價格下降的現象,並且透過期貨基差收斂特性,設計投資策略進行回測研究。
    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.
    Reference: 1. Board, J., & Sutcliffe, C. (1996). The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk. The Journal of Futures Markets (1986-1998), 16(1), 29.

    2. Billingsley, R. S., & Chance, D. M. (1988). The pricing and performance of stock index futures spreads. Journal of Futures Markets, 8(3), 303-318.

    3. Figlewski, S. (1984). Explaining the early discounts on stock index futures: The case for disequilibrium. Financial Analysts Journal, 40(4), 43-47.

    4. Frino, A., & McKenzie, M. D. (2002). The pricing of stock index futures spreads at contract expiration. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 22(5), 451-469.

    5. Fung, J. K., & Draper, P. (1999). Mispricing of index futures contracts and short sales constraints. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(6), 695-715.

    6. Gay, G. D., & Jung, D. Y. (1999). A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(2), 153-174.

    7. Qin, J., Green, C. J., & Sirichand, K. (2019). Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs. Journal of Futures Markets, 39(10), 1269-1300.

    8. Qin, J. (2017). Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics (Doctoral dissertation, Loughborough University).

    9. Yadav, P. K., & Pope, P. F. (1994). Stock index futures mispricing: Profit opportunities or risk premia?. Journal of Banking & Finance, 18(5), 921-953.

    10. Yang, H., Yan, H., & Peng, N. (2008, April). A Comparative Empirical Study on the Margin Setting of Stock Index Futures Calendar Spread Trading. In Asia-Pacific Web Conference (pp. 30-41). Springer, Berlin, Heidelberg.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107357026
    Data Type: thesis
    DOI: 10.6814/NCCU202000954
    Appears in Collections:[財務管理學系] 學位論文

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