摩根台指期貨到期效應及結算制度改變對現貨市場之影響

Abstract

本文研究新加坡交易所的摩根台指期貨的到期日對台灣現貨市場是否有異常影響，即所謂到期日效應。樣本期間由2006年7月至2011年12月共計66個月，並分成三個子期間，以探討摩台指期的結算制度改變對到期日效應的影響，以及2008年金融海嘯期間是否有所不同。 利用Wilcoxon符號等級檢定分析日內分資料，實證結果顯示結算價於2009年11月起由到期日收盤價改採收盤前30分鐘平均價之後，到期日的價格波動度與成交金額均變得顯著大於平常日。此結果與過去認為結算價採一段時間平均價能減緩到期日效應的觀點相悖。另外，到期日異常價格反轉與異常成交均張的現象一直都存在，且發生的時間區段有一致拉長的趨勢。推論到期效應與法人機構的交易行為有密切關係。報酬率方面，在到期日無顯著的異常報酬，但結算制度改變後，到期日次日開盤後的報酬率顯著小於各比較日。

This thesis investigates the expiration-day effects of MSCI Taiwan Stock Index Futures traded on SGX, and examines whether there are abnormal phenomena on expiration days. The sample period is selected from July 2006 to December 2011, including 66 months. The samples are divided into three sub-periods to test the difference in expiration-day effects before and after the new settlement procedure was executed, and during the Financial Crisis that occurred in 2008. Analyzing the intra-day minute data by Wilcoxon signed rank test, the empirical results show that the price volatility and trading volume on expiration days became significantly larger than benchmark days after November 2009, when the settlement procedure changed from using closing price to using 30 minutes average price before closing. This result contradicts the view that using an average price settlement would mitigate expiration-day effects. In addition, there are abnormal price reversal and abnormal trading volume measured by shares per trade during the whole sample period, and their occurring periods tend to lengthen congruously. It implies that there is a correlation between the expiration-day effects and the trading behavior of financial institutions. In terms of return, abnormal return doesn’t exist on expiration days, but the return after the opening on next to expiration days is significantly lower than benchmark days, after the settlement procedure was changed.