| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 93 === 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.
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