臺灣股價指數期貨結算制度改變對到期日效應之影響

Abstract

本研究探討臺灣期貨交易所(TAIFEX)於2008年11年21日將最後結算價由周四開盤15分鐘平均價格改為周三收盤前30分鐘26個價格平均值及2011年1月17日將最後結算價由周三收盤前30分鐘26個價格平均值改為周三收盤前30分鐘101個價格平均值，兩次對台指期貨最後結算價進行改制之成效，透過分析現貨市場之異常價格報酬、價格反轉、價格波動度與成交量等到期效應來了解到期事件對現貨市場產生的衝擊是否有效獲得緩解。同時，本文也針對外資法人於現貨與台指期貨市場之交易策略進行相關性分析，以檢測外資法人是否在接近到期日時具有慣用之現貨、期貨雙邊市場互相搭配的交易策略來獲取異常利潤。 實證結果顯示：(1) 隨著兩次改制，到期日之異常價格反轉現象皆不存在，不受改制影響；(2)異常價格報酬現象則逐漸前移提早至當日開盤時段出現；(3)異常的價格波動與成交量情況有逐漸降低、縮短且集中於收盤前結算時段的傾向；(4)外資機構法人在到期日現貨買賣超與期貨未平倉量部位之相關性則從第一次改制前的顯著正向關係轉變為完全不顯著，故外資於接近到期日時的投機或避險交易意圖已逐漸淡化。整體而言，此兩次最後結算價的改制的確有達到減緩到期日效應發生的功效。

This research aims to analyze the impacts of the two most recent changes on settings of final settlement price of Taiwan Stock Index Futures (TX), traded on Taiwan Futures Exchange (TAIFEX). The first change was launched on 21th Nov. 2008 on which the final settlement price changed from fifteen-minute average price in the opening session on Thursday to thirty-minute average price with twenty-six disclosed quotations in the closing session on Wednesday. The second change occurred on 17th Jan. 2011 when the final settlement price changed again to thirty-minute average price with one hundred and one disclosed quotations in the closing session on Wednesday. Several expiration-day effects, including abnormal returns, price reversal, price volatility and trading volumes of stock market are examined to identify whether the impacts originated from futures expiration in stock market mitigate effectively after these two new settlement procedures are employed. In addition, the correlation of corresponding trading strategies in stock and futures markets of foreign institutional investors is also studied to investigate their typical trading patterns in such a way to make abnormal profits while the final settlement period is approaching. The empirical results indicate that: (1) abnormal price reversal effect does not exist in any of the sample periods; (2) abnormal return effect is more likely to shift toward early trading session on expiration day; (3) abnormal price volatility and trading volume effects tend to be lessened and concentrate in the final settlement period before closing; (4) for foreign institutional investors, the significantly positive correlation between their overbuying or overselling net positions in stock market and net open interests in futures market on expiration day before Nov. 2008 is converted to be greatly insignificant during the period when new final settlement price settings are implemented. This can be regarded as an evidence of their weak intentions to execute speculative or hedging trading strategies while near the final settlement period after Nov. 2008. As a whole, based on the above findings, it can be concluded that the two settlement price changes do effectively alleviate the expiration-day effects in stock market.