到期效应与微笑曲线之研究.DOCVIP

PAGE PAGE 1 臺灣加權股價指數與其波動度微笑曲線到期效應之研究 羅庚辛 國立中央大學企管系副教授 王克陸 國立國立交通大學財務金融研究所副教授 朱孝恩 國立中央大學企管系博士生 施振祥 國立中央大學企管系碩士 摘要 衍生性金融商品於到期日時發生的到期效應因市場而異，美國金融市場於到期日時有異常的交易價格、交易價格波動較劇烈與異常交易量及價格反轉等到期日效應情形發生，而香港恆生指數則沒有顯著的到期日效應。本文應用Masulis (1980)所用的期間比較法 (CPA)來比較臺灣加權股價指數與臺指選擇權在到期日與非到期日價量與微笑曲線，來探討臺灣金融市場是否有到期日效應，其分析結果歸納如下：到期日之前一日在報酬波動與微笑曲線上有到期日效應；到期日的報酬、報酬波動、價格反轉與微笑曲線都有到期日效應存在；結算日開盤後15分鐘的報酬波動與交易量有到期日效應現象，表示說臺灣特殊的結算制度會使某些到期日效應移至結算日。隔夜效果只存在於到期日之前一日收盤至到期日開盤期間。 關鍵詞：到期日效應、價格反轉、微笑曲線、隔夜效果。 The Expiration Effects of TAIEX and its Volatility Smile Abstract Expiration effects, including abnormal trade price, fiercer volatility of trade price, abnormal trading volume and price reversal, occurs on expiration days in the US financial market, but do not significantly take place for Hang Seng Index. This study used Masulis’ CPA to examine means of return and trading volume of TAIEX and volatility smile of TXO on expiration days and non-expiration days to explore whether expiration effects exist in Taiwan financial market. The results of analysis were concluded as follows: return volatility and smile curve showed expiration effects on the days before expiration days, and so did return, return volatility, return reversal as well as smiling curve on expiration days. Return volatility and trading volume at 15 minutes after the market open window on settlement days showed expiration effects, which means the particular procedure of settlement in Taiwan moved expiation effects to the settlement day. Overnight effects only existed at the window from the market closing before expiration days to the market opening on expiration days. Key Words：Expiration Day Effect、Price Reversal、Smile Curve、Overnight Effect 壹、緒論 自西元1982年之指數期貨及1983年推出之指數選擇權於美國發行後，因其提供了金融市場參與者一項有效避險工具，故其發展迅速並擴展至美國以外市場。然而隨著指數衍生性商品成交量快速成長，也使現貨市場的波動加劇。Stoll and Whaley (1986) 首先提出到期日效應研究，並指出到期日時因現貨市場的商品價格出現暫時性的失衡，而使現貨市場出現異常報酬、報酬波動、異常交易量及價格反轉狀況發生。 Stoll and Whaley (1986, 1987)指出到期日效應發生的主要原因可由市場交易者的交易動機分析。於到期日時，避險者因避險需求，於指數衍生性商品市場進行轉倉動作，而使指數衍生性商品市場