A study on futures expiration day effects for Taiwan stock market-Evidences from TAIFEX and SIMEX MSCI Taiwan Stock Index Futures

• Main Authors: Shuan, Chen, 陳瑄
• Other Authors: Ming-Guan, Huang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/81840187902603994564

碩士 === 實踐大學 === 財務金融與保險研究所 === 96 === Due to the ratio of Foreign Institute Investor (FINI) takes part in Taiwan Stock Index Futures Contact is getting higher, the Taiwan Stock Index Futures and Stock Index are becoming more significant relevantly. Recently, Foreign Investors have been taking SIMEX MSCI Taiwan Stock Index Futures and Taiwan Stock Index Futures for hedge, arbitrage, and speculative transaction; thus, the institute investors, include foreign investors, operate the futures expiration might be true. For more extensive and deeper to probe into the futures expiration day effects of Taiwan Stock, these study exams the specific period of Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures on the expiration day where whether it exists the abnormal return, return reversal, and fierce fluctuating. Additionally, difference settlement systems between Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures, Taiwan Stock Index Futures takes average price at fifteen minutes before open trading, MSCI Taiwan Stock Index Futures adopts the closing price on the expiration day, this study also explores if the Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures have manifest Futures Effect discrepancies under the different settlement systems. Moreover, through the trading volume, open interest volume, transfer interest volume, spread, foreign investor net trading, security investment trust companies net trading, futures rate of return one-day and two-days before expiration day, and other potential factors to uncover the key elements, which impact the return of futures settlement. This study bases on Taiwan Stock Index Futures, MSCI Taiwan Stock Index Futures, and Stock Index for every five minutes per day from the year of 2003 to 2007. The results are as following: (1) Taiwan Stock Index Futures exists the settlement date effect at the opening for 5~10 minutes and 15~20 minutes of Taiwan Stock Market; MSCI Taiwan Stock Index Futures occurs the effects at the last 5 minutes ,60 minutes and all day of trading time. (2) Taiwan Stock Index Futures have the return reversal before the settlement for 10 minutes; the ration of return reversal in total amount is distinct higher then the day before settlement. MSCI Taiwan Stock Index Futures have the return reversal before the settlement for 5 minutes, 15 minutes and 30 minutes. The ration of return reversal is distinct higher then the unsettlement date. (3) On the futures return exist the significant differences between the opening trading settlement for Taiwan Stock Index Futures and closing price settlement for MSCI Taiwan Stock Index. On the stock return has not distinct the differences between the opening trading settlement for Taiwan Stock Index Futures and closing price settlement for MSCI Taiwan Stock Index. (4) The factors which impact the return of Taiwan Index Futures are the spread, the open interest, the foreign investors and security investment trust companies net trading volume on a-day before the expiration day. The trading volume, the spread, the foreign investors net trading are the elements which influence the MSCI Taiwan Stock Index Futures.