為了減低指數期貨在結算時異常的股價波動，台灣期貨交易所於2001年的11月將期指的最後結算價由原先的各成份股當日開盤價計算之指數，改成以最後結算日各成分股開盤十五分鐘的成交量加權平均價，訂定最後結算價。這篇論文的研究目的就是要探討在新的結算制度實施後，對到期日效應有何影響。我們利用Stoll and Whaley (1990a) and Stoll and Whaley (1991)這兩篇文章所提出的方法來檢定日內的交易資料。實證結果發現，在結算制度改變之後，到期日效應有減緩的現象，對台指現貨及期貨市場的穩定性與效率性有正面的貢獻，想要利用投資策略在台灣的股票及期貨市場賺取超額利潤是更加困難的。 In November 2001, in order to reduce abnormal stock price movement when index futures are settled, the Taiwan Futures Exchange (TAIFEX) changed the settlement procedure of the stock index futures from each component stock's opening price on the final settlement day to the first fifteen-minute volume-weighted average of each component stock's prices. The purpose of this thesis is to find the influence on expiration-day effects after the new settlement procedure was executed. We use and modify the methods from Stoll and Whaley (1990a) and Stoll and Whaley (1991) to examine intraday transaction data. The objects that we research include TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index), Electronic Sector Index, Finance Sector Index, and their index futures. As the empirical results, We find that the expiration-day effects have mitigated after the settlement procedure changed, and the stability and efficiency in Taiwan stocks and index futures markets are improved. Thus, it becomes more difficult to utilize investment strategies to earn abnormal returns in the Taiwan stocks and index futures markets.
