結算制度改變對到期日效應影響之研究 ; A Study the Impacts of Settlement Rule Changes on Expiration Days

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Title:	結算制度改變對到期日效應影響之研究;A Study the Impacts of Settlement Rule Changes on Expiration Days
Authors:	林永泰;Lin-yung tai
Contributors:	財務金融研究所
Keywords:	到期日效應;價格逆轉;報酬波動;price return volatility;expiration day effect
Date:	2010-07-27
Issue Date:	2010-12-08 14:52:21 (UTC+8)
Publisher:	國立中央大學
Abstract:	摘要本研究主旨在探討民國97年11月21日改變期貨到期結算制度後對到期日效應的變化。以台灣期貨交易所、台灣證券交易所及台灣經濟新報資料庫每日日內資料為樣本資料。研究期間為民國96年1月1日至民國98年12月31日，並依據Stoll & Whaley(1987、1990) 價格逆轉模型及報酬波動模型進行實證研究分析。實證結果發現，結算制度變更之後，在到期日報酬波動效應部分有明顯降低，同時發現有提前發生現象。在價格逆轉部分實證結果並不存在，但以樣本期間資料發生價格逆轉機率來觀察，價格逆轉效應有效降低，但並無提前發生現象。整體而言，新的結算制度仍是有效降低因到期而產生的劇烈波動。關鍵詞：到期日效應、價格逆轉、報酬波動A Study the Impacts of Settlement Rule Changes on Expiration Days ABSTRACT This research studies the impacts of settlement rule changes, which started from 21st Nov. 2008, on expiration days. The data of this research comes from intraday transaction database of Taiwan Futures Exchange Co., Taiwan Stock Exchange Co., and Taiwan Economic Journal Co., Ltd. This research uses price reversals model and return volatility model proposed by Stoll & Whaley (1987, 1990) to analyze the effect. The result illustrates that return volatilities on expiration dates are obviously decreasing since settlement rules change and the return volatilities increase before expiration dates. However, this research doesn’t find similar patterns about price reversals. Based on these findings, this research concludes that only return volatility effect holds after settlement rule changes in 2008. Key words: expiration day effect, price return volatility
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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