| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 92 === This thesis studies the expiration effect of Taiwan index futures to the underlying stock markets. Specifically, the study focuses on whether there is abnormal index return and volatility near the futures expiration. The study further examines for possible volume/volatility effect resulted from the foreign capital.
Empirical results show as follows:
1.First, for the study of abnormal index return, we fail to find any significant difference in index return and return volatility between on expiration days and non-expiration days. Second, results for return reversal and return volatility from intraday data are as follows:(1) The SGX spot return reversal is abnormally high near the expiration days, (2) the SGX spot return reversal disappear after the SGX contract expires and is settled, (3) as TAIFEX futures approaching termination, index return volatility is significantly reduced while it is opposite for SGX spot index when SGX futures approaching expiration. Base on the results, we can infer that there are more arbitrage and hedge activity on SGX shares than on TAIFEX shares on expiration days.
2.The index stock volume is insignificantly different between expiration days and non-expiration days. However, foreign capital tends to have greater trading activity during the expiration periods than non-expiration periods. We conclude that there is significant effect of foreign capital that trade SGX spot on expiration days.
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