| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === The Futures contract is restrained by its expiration days and spot settlements are made on the expiration days. As a result, when it comes to near the expiration days, both the spot market and futures market will show abnormal on rate of returns, trading volume and volatility rate. This phenomenon is referred as “expiration effect”, and it is a very critical issue frequently shown in the studies for futures and spot markets. This study explore if there is expiration effect of TAIFEX and MSCI Taiwan Stock Index Futures and tried to find out the factors that influence the expiration effect, eg. Do the opening settlement of TAIFEX Taiwan Stock Index Futures and closing settlement of MSCI Taiwan Stock Index Futures make any variation on the rate of returns for the futures’ expiration? Would there be any impact on the rate of returns for the futures expiration if the transaction method changes in the TSE Stock Index market? Should the return of the expiration days of TAIFEX Taiwan Stock Index Futures be extended to next day for settlement or the return would be reversed? At the same time,three research hypotheses would be established as the empirical evidence. Through the results of empirical analysis, the expiration effect of TAIFEX and MSCI Taiwan Stock Index Futures would be validated.
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