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題名 台股除息對台指期換月價差之影響及相關投資策略研究
The Effect of Ex-divident on TAIEX futures Price － A Study of Spreads Due to Roll Over Futures Position作者 胡博仁
Hu, Po-Jen貢獻者 岳夢蘭
Yueh, Meng-Lan
胡博仁
Hu, Po-Jen關鍵詞 台灣加權指數期貨
成分股除息
集中除息
換月價差
TAIEX futures
Ex-dividend
Price spread日期 2020 上傳時間 3-Aug-2020 17:34:23 (UTC+8) 摘要 台灣加權指數期貨每日平均交易量可達十萬以上，其中又以近月台指加權指數期貨合約最為熱門，市場上的報價也會以近月合約價格為主。但受限於期貨合約特性，該月份到期的期貨合約在最後交易日後，需要進行換約。在過去八年，台灣加權指數成分股多半集中於6~8月份進行除息，而此時換月的期貨契約因而容易產生換月價差。我們認為期貨會提前反應各成分股的除息點數。本論文研究主要透過換月價差及期貨基差，探究期貨合約是否在6~8月份較易因換約而造成價格下降的現象，並且透過期貨基差收斂特性，設計投資策略進行回測研究。利用過去八年的台指期價格歷史資料，我們發現期貨換月價差容易在6~8月份發生，尤其在期貨契約換約後的第一天，期貨報價較前一天下降許多。透過基差分析我們發現，相較於其他月份，在6~8月份換月後的基差相對其他月份低，顯示期貨價格會提前反應台指成分股公司除息現象。
Due to the feature of futures contracts, a futures contract approaching to maturity needs to be roll-overed to the next near futures contract after the last trading date of the maturity month. The price spread of the two futures would occur during the rollover period. In Taiwan, most companies go ex-dividend in the period of June to August. The purpose of this research is to examine whether the price spread of the last trading date for a TAIEX futures contract in the period of June to August will be significantly different from that in other periods.Our sample from 2011 to 2018 show that more than eighty percent of companies would go ex-dividend from June to August. The empirical analysis shows that the price spread in the last trading date of June to August is significantly different from that of other maturity months. Moreover, the basis of futures contracts during the June to August period would be lower than that of other months. Based on these findings, we propose a trading rule trying to optimize the reward-risk ratio of an investment strategy.參考文獻 1. Board, J., & Sutcliffe, C. (1996). The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk. The Journal of Futures Markets (1986-1998), 16(1), 29.2. Billingsley, R. S., & Chance, D. M. (1988). The pricing and performance of stock index futures spreads. Journal of Futures Markets, 8(3), 303-318.3. Figlewski, S. (1984). Explaining the early discounts on stock index futures: The case for disequilibrium. Financial Analysts Journal, 40(4), 43-47.4. Frino, A., & McKenzie, M. D. (2002). The pricing of stock index futures spreads at contract expiration. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 22(5), 451-469.5. Fung, J. K., & Draper, P. (1999). Mispricing of index futures contracts and short sales constraints. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(6), 695-715.6. Gay, G. D., & Jung, D. Y. (1999). A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(2), 153-174.7. Qin, J., Green, C. J., & Sirichand, K. (2019). Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs. Journal of Futures Markets, 39(10), 1269-1300.8. Qin, J. (2017). Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics (Doctoral dissertation, Loughborough University).9. Yadav, P. K., & Pope, P. F. (1994). Stock index futures mispricing: Profit opportunities or risk premia?. Journal of Banking & Finance, 18(5), 921-953.10. Yang, H., Yan, H., & Peng, N. (2008, April). A Comparative Empirical Study on the Margin Setting of Stock Index Futures Calendar Spread Trading. In Asia-Pacific Web Conference (pp. 30-41). Springer, Berlin, Heidelberg. 描述 碩士
國立政治大學
財務管理學系
107357026資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357026 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 胡博仁 zh_TW dc.contributor.author (Authors) Hu, Po-Jen en_US dc.creator (作者) 胡博仁 zh_TW dc.creator (作者) Hu, Po-Jen en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:34:23 (UTC+8) - dc.date.available 3-Aug-2020 17:34:23 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:34:23 (UTC+8) - dc.identifier (Other Identifiers) G0107357026 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130971 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357026 zh_TW dc.description.abstract (摘要) 台灣加權指數期貨每日平均交易量可達十萬以上，其中又以近月台指加權指數期貨合約最為熱門，市場上的報價也會以近月合約價格為主。但受限於期貨合約特性，該月份到期的期貨合約在最後交易日後，需要進行換約。在過去八年，台灣加權指數成分股多半集中於6~8月份進行除息，而此時換月的期貨契約因而容易產生換月價差。我們認為期貨會提前反應各成分股的除息點數。本論文研究主要透過換月價差及期貨基差，探究期貨合約是否在6~8月份較易因換約而造成價格下降的現象，並且透過期貨基差收斂特性，設計投資策略進行回測研究。利用過去八年的台指期價格歷史資料，我們發現期貨換月價差容易在6~8月份發生，尤其在期貨契約換約後的第一天，期貨報價較前一天下降許多。透過基差分析我們發現，相較於其他月份，在6~8月份換月後的基差相對其他月份低，顯示期貨價格會提前反應台指成分股公司除息現象。 zh_TW dc.description.abstract (摘要) Due to the feature of futures contracts, a futures contract approaching to maturity needs to be roll-overed to the next near futures contract after the last trading date of the maturity month. The price spread of the two futures would occur during the rollover period. In Taiwan, most companies go ex-dividend in the period of June to August. The purpose of this research is to examine whether the price spread of the last trading date for a TAIEX futures contract in the period of June to August will be significantly different from that in other periods.Our sample from 2011 to 2018 show that more than eighty percent of companies would go ex-dividend from June to August. The empirical analysis shows that the price spread in the last trading date of June to August is significantly different from that of other maturity months. Moreover, the basis of futures contracts during the June to August period would be lower than that of other months. Based on these findings, we propose a trading rule trying to optimize the reward-risk ratio of an investment strategy. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 2第二節 研究目的 2第二章 理論及文獻探討 4第一節 期貨介紹 4第二節 現貨除息及期貨合約之相關研究 9第三章 研究設計 11第一節 樣本期間 11第二節 研究資料來源 11第三節 研究方法 11第四章 實證結果及分析 13第一節 換月價差分析 13第二節 基差分析 16第三節 臺指期貨及現貨交易策略及回測結果 19第五章 結論 21參考文獻 22 zh_TW dc.format.extent 1575707 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357026 en_US dc.subject (關鍵詞) 台灣加權指數期貨 zh_TW dc.subject (關鍵詞) 成分股除息 zh_TW dc.subject (關鍵詞) 集中除息 zh_TW dc.subject (關鍵詞) 換月價差 zh_TW dc.subject (關鍵詞) TAIEX futures en_US dc.subject (關鍵詞) Ex-dividend en_US dc.subject (關鍵詞) Price spread en_US dc.title (題名) 台股除息對台指期換月價差之影響及相關投資策略研究 zh_TW dc.title (題名) The Effect of Ex-divident on TAIEX futures Price － A Study of Spreads Due to Roll Over Futures Position en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Board, J., & Sutcliffe, C. (1996). The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk. The Journal of Futures Markets (1986-1998), 16(1), 29.2. Billingsley, R. S., & Chance, D. M. (1988). The pricing and performance of stock index futures spreads. Journal of Futures Markets, 8(3), 303-318.3. Figlewski, S. (1984). Explaining the early discounts on stock index futures: The case for disequilibrium. Financial Analysts Journal, 40(4), 43-47.4. Frino, A., & McKenzie, M. D. (2002). The pricing of stock index futures spreads at contract expiration. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 22(5), 451-469.5. Fung, J. K., & Draper, P. (1999). Mispricing of index futures contracts and short sales constraints. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(6), 695-715.6. Gay, G. D., & Jung, D. Y. (1999). A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 19(2), 153-174.7. Qin, J., Green, C. J., & Sirichand, K. (2019). Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs. Journal of Futures Markets, 39(10), 1269-1300.8. Qin, J. (2017). Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics (Doctoral dissertation, Loughborough University).9. Yadav, P. K., & Pope, P. F. (1994). Stock index futures mispricing: Profit opportunities or risk premia?. Journal of Banking & Finance, 18(5), 921-953.10. Yang, H., Yan, H., & Peng, N. (2008, April). A Comparative Empirical Study on the Margin Setting of Stock Index Futures Calendar Spread Trading. In Asia-Pacific Web Conference (pp. 30-41). Springer, Berlin, Heidelberg. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000954 en_US
