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題名 期貨到期日效應與價格反轉之探討--- 以中國滬深300股指期貨市場為例
Expiration-day effects and price reversal --- CSI 300 index futures market作者 楊舜帆 貢獻者 李桐豪
楊舜帆關鍵詞 到期日效應
價格反轉
滬深300股指期貨
成交量異常
波動度異常
expiration effects
CSI 300 Index futures
price reversals
volume effects
abnormal return
volatility日期 2012 上傳時間 2-Sep-2013 16:05:18 (UTC+8) 摘要 本文係利用高頻資料研究股票指數期貨的到期日效應，考量到中國的衍生性商品起步甚晚，相關研究不如台灣來的多，因此選取中國的滬深300股指期貨市場作為本研究的主題，希望能夠為後續有興趣的研究者提供參考。但是因為中國市場的資料取得不易，本文所使用的樣本資料只為期兩年，選取2010年4月16日到2012年4月20日的滬深300股指期貨的1分鐘高頻數據作為原始數據。本文目的在於研究滬深300股指期貨經由考慮成交量、價格反轉以及波動度的到期日效應，實證結果發現在期貨到期日當天與隔一天的某些交易時段明顯存在著型0、型I與型II價格反轉，成交量檢驗指出，到期日成交量明顯大於非到期日成交量，波動度異常檢驗顯示，到期日收盤前五分鐘的波動度有異常放大的現象。本文的實證結果部分，利用模擬投資策略去檢驗價格反轉在經濟上是否有意義，發現價格反轉不只是在統計上顯著，同樣也是具有經濟意義的，但是把資料依據時間區分為前後兩部分並做檢驗之後也發現，這種經濟意義會隨著時間而呈現遞減的狀態。
The central idea of this thesis is studying expiration effects of stock index futures. As we know, China stock index futures market, which is also known as CSI 300 Index futures market, is experiencing its early stage with fewer related studies comparing to Taiwan stock futures market. In order to provide research references for succeeding researchers interested in CSI 300 Index futures market. However, having difficulties collecting high frequency market data from CSI 300 Index futures market, we use only two years data from the beginning of CSI 300 Index futures market. The main purpose of this thesis is to study the expiration effect of CSI 300 Index futures by from three aspects, price reversals, volume effects and abnormal return volatility. The empirical results shows that type 0, type I and type II existed in several trading hours in both the expiration day and the next trading day. Second, it indicated that the trading volume in expiration days is significantly larger than in non-expiration days. Third, the empirical result also pointed out that magnified return volatilities existing in five minutes before market closes on the expiration day. Moreover, we used simulated investment strategies as analysis tools and found that price-reversal effect is significant on economical basis. However, we discovered that the level of these effects is declining gradually from the beginning to the end of data period.參考文獻 (1) 陳佳政, 陳政位, 黃金生 (2009), “臺股指數衍生性商品到期日效應之實證研究”, 東吳經紀商學學報, 第六十五期, 49-82.(2) 謝文良, 曲靜芳 (2009), “摩根台指期貨之到期日效應”管理評論第 28 卷第 1 期, 1-22.(3) 闕河士, 楊德源 (2005), “股價指數期貨到期日效應之實證:以台灣股票市場為例”, Journal of Financial Studies, August, Vol.13, No.2. (4) Antonoio, A., and P. Holmes (1995), “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH.” Journal of Banking and Finance, 19, 117-129.(5) Awartani, B. M. and V. Corradi (2005), ‘Predicting the Volatility of the S&P500 Stock Index via GARCH Models: The Role of Asymmetries’, International Journal of Forecasting 21, 167-183.(6) Bollen, Nicolas P. B. and Robert E. Whaley (1999), “Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?,” Pacific-Basin Finance Journal, 7, 453-470.(7) Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.(8) Bollerslev, T. (1987), “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates Of Return.” Review of Economics and Statistics, 69, 542-547.(9) Chamberlain, T. W., C. S. Cheung and C. C. Y. Kwan, (1989) “Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence,” Financial Analysts Journal, 45, 67-71.(10) Chow, Y. F., H.M. Yung and H. Zhang (2003), “Expiration Day Effects: The Case of Hong Kong,” Journal of Futures Markets, 23, 67-86.(11) Corredor, P., P. Lechon and R. Santamaria (2001), “Option-Expiration Effects in Small Markets: The Spanish Stock Exchange”, Journal of Futures Markets, Vol.21.(12) Edwards, F.R. (1988a), “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal, 63-69.(13) Engle, R. F. and V. K. Ng (1993), “Measuring and Testing the Impact of News on Volatility," Journal of Finance, 48, 1749-1778.(14) Engle, R.F. and C.W.J. Granger (1987), ”Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, 251-76.(15) Feinstein, S.P. and W.N. Goetzmann (1988), “The effect of the ‘‘triple witching hour’’ on stock market volatility”, Economic Review (September, October), 2–18.(16) Fung, H., and G. Patterson (1999), “The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets,” Journal of International Financial Markets, Institutions and Money, 9, 33-59.(17) Glosten, Lawrence R, Ravi Jagannathan and David E Runkle (1993), " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, vol. 48(5), 1779-1801.(18) Granger, C.W.J. and Newbold P. (1974),”Spurious Regressions in Econometrics”, Journal of Econometrics, Vol.2, 111-120(19) Hancock, G.D. (1993), “Whatever Happened to the Triple Witching Hour?”, Financial Analysts Journal,Vol.40.(20) Hsieh, Wen-Liang (2009), “Expiration-Day Effects on Individual Stocks and the Overall Market: Evidence from Taiwan”, The Journal of Futures Markets, Vol. 29, No. 10, 920-945.(21) Illueca, Manuel and Juan A. LaFuente (2006), “New Evidence on Expiration-day Effects Using Realized Volatility: An Intraday Analysis for the Spanish Stock Exchange,” The Journal of Futures Markets, 26 (September), 923-938.(22) Kan, Andy C. N. (2001), “Expiration-Day Effect: Evidence from High Frequency Data in the Hong Kong Stock Market” Applied Financial Economics, 11, 107-118.(23) Karolyi, A. G. (1996), “Stock Market Volatility Around Expiration Days In Japan.” Journal of Derivatives, 4, 23-43.(24) Kisinbay, T. (2003), ” Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons.”, IMF Working Paper, 03/131.(25) Stoll, H. R. (1998), “Index Futures, Program Trading, and Stock Market Procedures”, The Journal of Futures Markets, 8, No.4, 391-412.(26) Stoll, H. R. and R. E. Whaley (1986), “Expiration Day Effects of Index Options and Futures”, Monograph Series in Finance and Economics, Monograph 1986-3.(27) Stoll, H. R. and R. E. Whaley (1987), “Program Trading and Expiration-Day Effects”, Financial Analysts Journal, 43, 16-28.(28) Stoll, H. R. and R. E. Whaley (1990), “Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew”, Journal of Business, 63, No.1, 165-192.(29) Stoll, H. R. and R. E. Whaley (1991), “Expiration-Day Effects: What Has Changed? ”, Financial Analysts Journal, 47, 58-72.(30) Stoll, H. R. and R. E. Whaley (1997), “Expiration-Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures”, Australian Journal of Management, 22, 139-174.(31) Tauchen, G. E. and M. Pitts (1983), “The Price Variability-Volume Relationship On Speculative Markets.” Econometrica 51 (March 1983), 485-505. 描述 碩士
國立政治大學
金融研究所
100352030
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003520302 資料類型 thesis dc.contributor.advisor 李桐豪 zh_TW dc.contributor.author (Authors) 楊舜帆 zh_TW dc.creator (作者) 楊舜帆 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 2-Sep-2013 16:05:18 (UTC+8) - dc.date.available 2-Sep-2013 16:05:18 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2013 16:05:18 (UTC+8) - dc.identifier (Other Identifiers) G1003520302 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59314 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 100352030 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本文係利用高頻資料研究股票指數期貨的到期日效應，考量到中國的衍生性商品起步甚晚，相關研究不如台灣來的多，因此選取中國的滬深300股指期貨市場作為本研究的主題，希望能夠為後續有興趣的研究者提供參考。但是因為中國市場的資料取得不易，本文所使用的樣本資料只為期兩年，選取2010年4月16日到2012年4月20日的滬深300股指期貨的1分鐘高頻數據作為原始數據。本文目的在於研究滬深300股指期貨經由考慮成交量、價格反轉以及波動度的到期日效應，實證結果發現在期貨到期日當天與隔一天的某些交易時段明顯存在著型0、型I與型II價格反轉，成交量檢驗指出，到期日成交量明顯大於非到期日成交量，波動度異常檢驗顯示，到期日收盤前五分鐘的波動度有異常放大的現象。本文的實證結果部分，利用模擬投資策略去檢驗價格反轉在經濟上是否有意義，發現價格反轉不只是在統計上顯著，同樣也是具有經濟意義的，但是把資料依據時間區分為前後兩部分並做檢驗之後也發現，這種經濟意義會隨著時間而呈現遞減的狀態。 zh_TW dc.description.abstract (摘要) The central idea of this thesis is studying expiration effects of stock index futures. As we know, China stock index futures market, which is also known as CSI 300 Index futures market, is experiencing its early stage with fewer related studies comparing to Taiwan stock futures market. In order to provide research references for succeeding researchers interested in CSI 300 Index futures market. However, having difficulties collecting high frequency market data from CSI 300 Index futures market, we use only two years data from the beginning of CSI 300 Index futures market. The main purpose of this thesis is to study the expiration effect of CSI 300 Index futures by from three aspects, price reversals, volume effects and abnormal return volatility. The empirical results shows that type 0, type I and type II existed in several trading hours in both the expiration day and the next trading day. Second, it indicated that the trading volume in expiration days is significantly larger than in non-expiration days. Third, the empirical result also pointed out that magnified return volatilities existing in five minutes before market closes on the expiration day. Moreover, we used simulated investment strategies as analysis tools and found that price-reversal effect is significant on economical basis. However, we discovered that the level of these effects is declining gradually from the beginning to the end of data period. en_US dc.description.tableofcontents 第一章 引言 7第一節 研究背景 7第二節 研究動機 7第三節 論文架構 9第二章 文獻回顧 11第三章 滬深300股指現貨、期貨概述 15第一節 滬深300指數 15第二節 滬深300股指期货 18第四章 研究方法 23第一節 研究假說 23第二節 檢定方法 24第三節 資料描述 32第四節 統計檢定方法 32第五章 實證結果 35第一節 統計顯著檢驗 351.價格反轉檢定 352.成交量異常檢驗 443.波動度異常檢驗 45第二節 經濟顯著檢驗 481.投資策略 482.操作步驟 483.交易成本 504.報酬情況 505.修正的策略 526.同策略套用在不同情境下 547.小結 61第六章 結論與建議 62參考文獻 64 zh_TW dc.format.extent 864902 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003520302 en_US dc.subject (關鍵詞) 到期日效應 zh_TW dc.subject (關鍵詞) 價格反轉 zh_TW dc.subject (關鍵詞) 滬深300股指期貨 zh_TW dc.subject (關鍵詞) 成交量異常 zh_TW dc.subject (關鍵詞) 波動度異常 zh_TW dc.subject (關鍵詞) expiration effects en_US dc.subject (關鍵詞) CSI 300 Index futures en_US dc.subject (關鍵詞) price reversals en_US dc.subject (關鍵詞) volume effects en_US dc.subject (關鍵詞) abnormal return en_US dc.subject (關鍵詞) volatility en_US dc.title (題名) 期貨到期日效應與價格反轉之探討--- 以中國滬深300股指期貨市場為例 zh_TW dc.title (題名) Expiration-day effects and price reversal --- CSI 300 index futures market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) (1) 陳佳政, 陳政位, 黃金生 (2009), “臺股指數衍生性商品到期日效應之實證研究”, 東吳經紀商學學報, 第六十五期, 49-82.(2) 謝文良, 曲靜芳 (2009), “摩根台指期貨之到期日效應”管理評論第 28 卷第 1 期, 1-22.(3) 闕河士, 楊德源 (2005), “股價指數期貨到期日效應之實證:以台灣股票市場為例”, Journal of Financial Studies, August, Vol.13, No.2. (4) Antonoio, A., and P. Holmes (1995), “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH.” Journal of Banking and Finance, 19, 117-129.(5) Awartani, B. M. and V. Corradi (2005), ‘Predicting the Volatility of the S&P500 Stock Index via GARCH Models: The Role of Asymmetries’, International Journal of Forecasting 21, 167-183.(6) Bollen, Nicolas P. B. and Robert E. Whaley (1999), “Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?,” Pacific-Basin Finance Journal, 7, 453-470.(7) Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.(8) Bollerslev, T. (1987), “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates Of Return.” Review of Economics and Statistics, 69, 542-547.(9) Chamberlain, T. W., C. S. Cheung and C. C. Y. Kwan, (1989) “Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence,” Financial Analysts Journal, 45, 67-71.(10) Chow, Y. F., H.M. Yung and H. Zhang (2003), “Expiration Day Effects: The Case of Hong Kong,” Journal of Futures Markets, 23, 67-86.(11) Corredor, P., P. Lechon and R. Santamaria (2001), “Option-Expiration Effects in Small Markets: The Spanish Stock Exchange”, Journal of Futures Markets, Vol.21.(12) Edwards, F.R. (1988a), “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal, 63-69.(13) Engle, R. F. and V. K. Ng (1993), “Measuring and Testing the Impact of News on Volatility," Journal of Finance, 48, 1749-1778.(14) Engle, R.F. and C.W.J. Granger (1987), ”Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, 251-76.(15) Feinstein, S.P. and W.N. Goetzmann (1988), “The effect of the ‘‘triple witching hour’’ on stock market volatility”, Economic Review (September, October), 2–18.(16) Fung, H., and G. Patterson (1999), “The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets,” Journal of International Financial Markets, Institutions and Money, 9, 33-59.(17) Glosten, Lawrence R, Ravi Jagannathan and David E Runkle (1993), " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, vol. 48(5), 1779-1801.(18) Granger, C.W.J. and Newbold P. (1974),”Spurious Regressions in Econometrics”, Journal of Econometrics, Vol.2, 111-120(19) Hancock, G.D. (1993), “Whatever Happened to the Triple Witching Hour?”, Financial Analysts Journal,Vol.40.(20) Hsieh, Wen-Liang (2009), “Expiration-Day Effects on Individual Stocks and the Overall Market: Evidence from Taiwan”, The Journal of Futures Markets, Vol. 29, No. 10, 920-945.(21) Illueca, Manuel and Juan A. LaFuente (2006), “New Evidence on Expiration-day Effects Using Realized Volatility: An Intraday Analysis for the Spanish Stock Exchange,” The Journal of Futures Markets, 26 (September), 923-938.(22) Kan, Andy C. N. (2001), “Expiration-Day Effect: Evidence from High Frequency Data in the Hong Kong Stock Market” Applied Financial Economics, 11, 107-118.(23) Karolyi, A. G. (1996), “Stock Market Volatility Around Expiration Days In Japan.” Journal of Derivatives, 4, 23-43.(24) Kisinbay, T. (2003), ” Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons.”, IMF Working Paper, 03/131.(25) Stoll, H. R. (1998), “Index Futures, Program Trading, and Stock Market Procedures”, The Journal of Futures Markets, 8, No.4, 391-412.(26) Stoll, H. R. and R. E. Whaley (1986), “Expiration Day Effects of Index Options and Futures”, Monograph Series in Finance and Economics, Monograph 1986-3.(27) Stoll, H. R. and R. E. Whaley (1987), “Program Trading and Expiration-Day Effects”, Financial Analysts Journal, 43, 16-28.(28) Stoll, H. R. and R. E. Whaley (1990), “Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew”, Journal of Business, 63, No.1, 165-192.(29) Stoll, H. R. and R. E. Whaley (1991), “Expiration-Day Effects: What Has Changed? ”, Financial Analysts Journal, 47, 58-72.(30) Stoll, H. R. and R. E. Whaley (1997), “Expiration-Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures”, Australian Journal of Management, 22, 139-174.(31) Tauchen, G. E. and M. Pitts (1983), “The Price Variability-Volume Relationship On Speculative Markets.” Econometrica 51 (March 1983), 485-505. zh_TW
