摩根臺指期貨之到期日效應

Expiration Day Effects of MSCI Taiwan Index Futures

本文探討摩根台股指數期貨到期日效應及其成因。實證結果指出台灣股市在該期貨到期時，出現成交量異常放大、報酬波動顯著增加，以及價格反轉等現象。到期日效應集中發生於收盤前五分鐘，而非全日時段。在所有到期日中，指數成份股的成交量高於非成份股 8 倍，且遠大於非到期日的成交量；成份股的波動率在到期收盤前五分鐘劇增，但高波動率並未遞延至隔日開盤；指數在期貨到期日後傾向呈現統計上顯著的反轉。迴歸分析顯示，期貨未平倉量可顯著解釋異常交易量的消長，然而期貨基差、合約月份等變數則與各種到期日效應幅度的關連性較不顯著。現貨市場改以收盤五分鐘集合競價之後，摩台指期貨到期日效應並沒有顯著降低，此結果顯示集合競價吸納買賣單失衡的效用有限。 This paper examines the impacts of the expiration of the MSCI Taiwan stock index futures on the spot market. Results show abnormally large volume, volatility and price reversal exist during the last 5-minute interval of expiration days, On all expiration days, the volume of index stocks is significantly greater than that on non-expiration days and is eight times of that of non-index stocks. Volatility of index stocks increases dramatically during the last 5-minute of trading and subsides in overnight interval. Price reversals are found to be significant as well. Regression analysis suggests that only the abnormal volume, but the volatility or reversal, can be explained by our chosen variables. The magnitude of abnormal volume is directly related to the size of open interest, whereas the magnitudes of abnormal volatility and price reversal are less explainable by the regression. We also find that the abnormal volume enlarged after the stock market adopted a five-minute closing call procedure. It suggests that the closing call may not be effective in absorb large order imbalance.