A Research of Expiration Effect of SGX MSCI Taiwan Stock Index Futures

• Main Authors: Shin-cheng Chen, 陳新政
• Other Authors: Choa-hui Yeh
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/19196629782671790834

碩士 === 義守大學 === 管理研究所碩士班 === 94 === MSCI Taiwan is the first index future in Taiwan. This study focus on expiration effect exists in MSCI Taiwan or not. Future contracts will expire at the expiration month. Are these contracts accompany with the expiration effect at the last trade day or they happen before the expiration day? This study use t-test and f-test to test the average return rates and variances. This study also creates a regression model to test the factors which affect the expiration-day return rate. Through the results of empirical analysis, the trading volume on expiration days, the variance of return rate on expiration days, the price reversal following the expiration days, trading volume on expiration week and return rates on expiration weeks are significant. The regression model finds out that the one day before expiration day and the expiration day net buy/net sell of foreign investors and expiration day return rate appears positive correlation.