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| Title: | 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 |
| Authors: | 楊舜帆 |
| Contributors: | 李桐豪
楊舜帆 |
| Keywords: | 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 |
| Date: | 2012 |
| Issue Date: | 2013-09-02 16:05:18 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
金融研究所
100352030
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1003520302 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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