| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 101 === Global futures and other derivatives market has bloomed in recent years. Single
stock futures is another golden cow of equity derivatives since the index futures
established in 1982. Single stock futures have reached scale since the U.S congress
imposed Commodity Futures Modernization Act of 2000 and lift a ban of single stock
futures. Because of the characteristic of low cost, easy to long or short and more
efficiency, it has become a popular financial product in the exchange of emerging
market. The expiration effect is the impact to abnormal spot market price, volatility
and trading volume due to its futures and options expire on settlement day. And these
abnormal phenomenon is an important issue focused by global financial market
investors and regulation department. Former researches on expiration effect mostly
focus on index futures in U.S market but single stock futures. This research we collect
three of single stock futures trading in the Taiwan Futures Exchange. The daily data
we use is during 2010 June to 2012 October, 29 expiration day as total. We induct
EGARCH model and design dummy variables in order to investigate whether there
exist abnormal return and volatility asymmetric. Furthermore, we design a interactive
effect dummy variable between open interest and the due date to see whether there
exist expiration effect. The empirical result show that does exist significant volatility
asymmetric in expiration day or before expiration day.
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