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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33989
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33989


    Title: 指數期貨最後結算方式對於到期效應之影響
    Authors: 杜昭儀
    Contributors: 李桐豪
    杜昭儀
    Keywords: 到期效應
    最後結算方式
    指數期貨
    價格反轉
    Date: 2005
    Issue Date: 2009-09-17 19:02:15 (UTC+8)
    Abstract: 指數期貨在到期結算當天於現貨市場產生的到期效應,一直眾所關切的議題。影響到期效應的因素很多,其中指數期貨的最後結算方式,亦影響著到期效應的大小或發生與否。因此,本研究之目的在研究台灣現貨市場在改變最後結算方式後,是否有助於減緩到期效應發生之情況;此外亦比較世界各交易所採用的不同最後結算方式,是否對於現貨市場有不同影響,並將可行的最後結算方式提出供台灣來參考,以能達到降低現貨市場波動度並得到一個合理的最後結算價。實證結果如下:
    (1) 故整體來說,改變最後結算方式似乎不能有效改善對於現貨市場的所產生的到期效應。此外,開盤十五分鐘內的波動度大,採取此段時間的加權指數平均是否能得到一個合理的最後結算價格是有待商榷的。
    (2) 在特別開盤報價、收盤價、平均價、盤中集合競價四種最後結算方式中,採用「平均價」、「盤中集合競價」之期貨契約均沒有檢測出具有異常波動效果。同時,在台灣現行交易制度與市場參與者的組成結構下,採用「特別開盤報價」、「收盤價」以及「盤中集合競價」在到期結算時容易因瞬間流動性不足,遭市場投機人士干預最後結算價格,故不適合採用這三種方式來決定最後結算價格。
    (3) 未來仍然應繼續採用平均的方式來決定最後結算方式,但應修改目前開盤十五分鐘指數平均的計算方式,並可以考慮朝以下三個方向,以得一個合理的最後結算價格,並有效降低結算日市場波動度,及人為干預的情況:
    1.延長計算最後結算價格的期間至一個最適長度。
    2.將極端值刪除,不列入指數平均值的計算。
    3.選擇一段能夠反應結算日當天現貨市場波動情況的期間,做為計
    算最後結算價格之基礎。
    Reference: 1. 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」,銘傳大學財務金融研究所碩士論文。
    2. 林世釗(2003),「臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究」,台北大學企業管理學研究所碩士論文。
    3. 周波(2005),「股指期貨到期日影響與最後結算價確定」,2006/5/10期貨日報,http://stock.hexun.com/invest/detail.aspx?id=1636384
    4. 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。
    5. 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。
    6. 洪舜華(2002),「摩根臺灣股價期貨指數到期效應對股票市場的影響」,台北大學企業管理學研究所碩士論文。
    7. 許義忠(2004),「結算制度與到期日效應」,中央大學財務金融所碩士碩文。
    8. 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」,淡江大學財務金融學系金融碩士班碩士論文。
    9. 蔡垂君(2003),「台灣股價指數期貨與現貨之實證研究」,台北大學企業管理學研究所碩士論文。
    10. 臺灣期貨交易所(2002),「期交所股價指數期貨契約最後結算價決定方式之研究」
    11. Anthony F. Herbst and Edwin D. Maberly(1990), “Stock Index Futures, Expiration Day Volatility, and the “Special” Friday Opening: A Note,” The Journal of Futures Market, 10:3, 323-325.
    12. Arago,V.and Fernandez,A.(2002), “Expiration and Maturity Effect:Empirical Evidence from the Spanish Spot and Futures Stock Index,” Applied Economics, 34:13,1617-1626.
    13. G. Andrew Karolyi(1996), “Stock Market Volatility Around Expiration Days In Japan,” The Journal Of Derivatives, winter 1996, 23-42.
    14. Bamberg, G. and Roder, K., “Intraday Volatilitat and Expiration Day Effekte am Deutschen Aktienmarkt,” Arbeitspapiere zur Mathematischen Wirschaftsforschung, Universitat Augsburg, Heft 123, 1995.
    15. Nicolas P. B. Bollen and Robert E. Whaley(1999), “Do expirations of Hang Seng Index derivatives affect stock market volatility?” Pacific-Basin Finance Journal 7, 453-470.
    16. Trevor W. Chamberlain(1989), “Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence,” Financial Analysis Journal, Sep.-Oct., 67-71.
    17. Christian Schlag(1995), “Expiration day effects of stock index derivatives in Germany,” European Financial Management, 1:1, 69-95.
    18. P. Corredor, P. Lechon, and R. Santamaria(2001), “Option-Expiration Effects in Small Markets: The Spanish Stock Exchange,” The Journal of Futures Market, 21:10, 905-928.
    19. Edwards, F. R. (1988a), “Does futures trading increase stock market volatility?, Financial Analysts Journal, Jan/Feb, 63-69.
    20. Edwards, F. R. (1988b), “Futures trading and Cash market volatility: Stock index and Interest rate futures,” The Journal of Futures Markets, 8:4,421-439.
    21. Feinstein, S. P. and Goetmann, W. N. (1988), “The effect of the ‘Triple witching hour’ on stock market volatility,” Economic Review, 73:5, 2-18.
    22. G. D. Hancock(1993), “Whatever Happened to the Triple Witching Hour?” Financial Analysis Journal May-June 1993, 66-72.
    23. Heng-Chih Chou and Dar-Hsin Chen(2005), “The Expiration Effects of Stock Index Derivatives: Empiraical Evidence from the Taiwan Futures Exchange,” Forthcoming, Emerging Market Finance and Trade.
    24. Herbst, A. F. and Marbely, E. D. (1990),“Stock index futures, expiration-day volatility, and the special Friday opening: a note,” The Journal of Futures Markets, 10, 323-325.
    25. Martin, J. D. and A. J. Senchack, Jr.,”Index Futures, Program Trading, and the Covariability of the Major Index Stocks,” Journal of Futures Markets, 1991,11:1, 95-111.
    26. Pope, P. F. and P. K. Yadav, 1992, “The impact of expiration on underlying stocks: The UK evidence,” Journal of Business Finance and Accounting 19, 329-344.
    27. Hans R. Stoll and Robert E. Whaley(1986), “Expiration effects of index options and futures,” Mongraph Series in Finance and Economics, Monograph 1986-3.
    28. Hans R. Stoll and Robert E. Whaley(1987), “Program trading and expiration effects”, Financial Analysts Journal 43, 16-28.
    29. Hans R. Stoll and Robert E. Whaley(1990), “Program trading and individual stock returns: Ingredients of the triple-witching brew,” Journal of Business, 63, 165-192.
    30. Hans R. Stoll and Robert E. Whaley(1997), “Expiration-Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlment Procedures,” Australian Journal of Management, 22:2, 139-164.
    31. Hans R. Stoll and Robert E. Whaley(1991), “Expiration-Day Effects: Whast Has Changed?” Financial Analysis Journal, Jan.-Feb. 1991, 58-72.
    32. Swidler, S., L. Schwartz, and R. Krstiansen. 1994, Option expiration effects in small markets: Evidence from the Oslo Stock Exchange, Journal of Financial Engineering 3, 177-195.
    33. Ying-Foon Chow, Haynes H. M. Yung, and Hua Zhang(2003), “Expiration Day Effects: The Case of Hong Kong,” The Journal of Futures Markets, 23:1, 67-86.
    Description: 碩士
    國立政治大學
    金融研究所
    93352007
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352007
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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