指數期貨結算對股市從眾行為之影響

The Impact of Index Futures Settlement on Herding Behavior in the Taiwan Stock Market

結算效應是指衍生性商品到期結算對標的商品交易之影響。結算效應可能是起因於指數套利者在期貨到期時，同時結清期貨與股票現貨部位；或是投機者試圖透過操縱股價而使期貨部位獲利。從眾行為則是指投資人以他人行動或市場意見去從事投資決策。若股票市場投資人存在從眾心理，則可能因指數期貨到期結算之事件，使投資人模仿期貨套利者或投機者在股票市場的交易，而形成明顯的從眾效應。本文結合指數期貨結算效應與股市從眾效應等兩項主題，透過實證分析去檢驗台灣股票市場在指數期貨最後結算日前後之從眾現象。結果發現，股市在指數期貨最後結算日前後三日，具有顯著的從眾行為。此外，本文亦發現在股市表現不佳、成交量萎縮及風險提高之際，股票市場的從眾行為更容易受到期貨到期結算之影響。

Settlement effects describe the impact from expirations of derivatives on the trading of the underlying market. The settlement effects of index futures may arise from stock index arbitrageurs unwinding of arbitrage positions in the stock market or speculators attempt to gain from futures positions by manipulating the price of stocks. Herd behavior is defined as investors implement an investment strategy based on mimicking other investors＇ actions or the market consensus. If the investors mimic the actions of futures arbitrageurs and speculators, the evident herding effects will appear during the period of index futures settlement. This study integrates the two topics of settlement effects and herding effects. The empirical analysis is designed to explore the herding behavior in Taiwan stock market during the period of settlement of index futures. The results show that there are significant herding effects before and after three days to the maturity date. In addition, we find that the herding behavior is significant during the period of bad market condition, low trading volume, and high stock market volatility.