USDTWD 無本金交割遠期外匯市場之跨季末折價效應

Abstract

本文以2015年1月至2026年4月之USDTWD無本金交割遠期外匯（NDF）日頻報價為樣本，參考 Du, Tepper, and Verdelhan（2018）之跨季末識別策略，檢驗短天期 NDF 合約之 swap point 是否存在系統性的跨季末折價效應，並探討此一效應是否在市場流動性較差時更為明顯。 實證結果顯示 1 週期合約存在顯著的跨季末折價效應，1 個月期合約方向一致但統計證據較弱，3 個月期合約則因大多數觀測值本身即跨越季末而缺乏辨識力。流動性異質性分析進一步顯示，1 個月期合約之跨季末折價主要集中於 bid-ask spread 偏高之期間，在流動性較佳時則明顯減弱。穩健性測試確認上述結果整體維持一致。 本文將跨季末效應之研究框架延伸至台幣 NDF 市場，填補現有文獻對台幣NDF跨季末定價現象之研究空白，並提供流動性條件影響此一效應之實證證據。

This paper examines whether USDTWD non-deliverable forward (NDF) contracts exhibit a systematic quarter-end discount in swap points and whether the effect varies with market liquidity. Using daily NDF quotations from January 2015 to April 2026, quarter-end contracts are identified based on whether the settlement date and maturity date fall in different calendar quarters, following the identification strategy of Du, Tepper, and Verdelhan (2018). The results show that the quarter-end discount is significant for 1-week contracts, while 1-month contracts display the same direction but weaker statistical support. For 3-month contracts, the effect cannot be reliably identified because most observations already straddle quarter-end. Liquidity heterogeneity analysis further shows that the quarter-end discount in 1-month contracts is concentrated in periods of elevated bid-ask spreads and becomes much weaker when market liquidity is more ample. Robustness checks confirm that the main findings remain broadly unchanged across alternative specifications. This paper extends the quarter-end effect framework to the USDTWD NDF market, contributing new evidence on quarter-end pricing dynamics in an emerging-market NDF setting, and highlights the conditioning role of market liquidity in this pricing effect.