| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === This research aims to analyze the impacts of the two most recent changes on settings of final settlement price of Taiwan Stock Index Futures (TX), traded on Taiwan Futures Exchange (TAIFEX). The first change was launched on 21th Nov. 2008 on which the final settlement price changed from fifteen-minute average price in the opening session on Thursday to thirty-minute average price with twenty-six disclosed quotations in the closing session on Wednesday. The second change occurred on 17th Jan. 2011 when the final settlement price changed again to thirty-minute average price with one hundred and one disclosed quotations in the closing session on Wednesday. Several expiration-day effects, including abnormal returns, price reversal, price volatility and trading volumes of stock market are examined to identify whether the impacts originated from futures expiration in stock market mitigate effectively after these two new settlement procedures are employed. In addition, the correlation of corresponding trading strategies in stock and futures markets of foreign institutional investors is also studied to investigate their typical trading patterns in such a way to make abnormal profits while the final settlement period is approaching.
The empirical results indicate that: (1) abnormal price reversal effect does not exist in any of the sample periods; (2) abnormal return effect is more likely to shift toward early trading session on expiration day; (3) abnormal price volatility and trading volume effects tend to be lessened and concentrate in the final settlement period before closing; (4) for foreign institutional investors, the significantly positive correlation between their overbuying or overselling net positions in stock market and net open interests in futures market on expiration day before Nov. 2008 is converted to be greatly insignificant during the period when new final settlement price settings are implemented. This can be regarded as an evidence of their weak intentions to execute speculative or hedging trading strategies while near the final settlement period after Nov. 2008. As a whole, based on the above findings, it can be concluded that the two settlement price changes do effectively alleviate the expiration-day effects in stock market.
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