新加坡摩根台股期貨到期日效應之因素探討：套利或操縱？

Abstract

本研究探討新加坡摩根台股期貨契約到期時，台灣股票市場上的到期日效應形成原因為何。實證發現摩台指期貨契約到期當天，股票市場收盤前最後五分鐘的價量表現，皆異於其他非到期日，且反轉頻率高於其他非到期日。從迴歸分析中，發現套利並非造成到期日效應的主因，而未平倉量及負買賣單不平衡則顯著影響到期日效應，顯示操縱者在期貨契約到期前大量留倉，並於結算價格決定時點，以顯著單向大單影響股價，以獲取操縱利潤。因此，實證結果傾向支持人為操縱的存在，且主要參與者為外資。

This paper investigates the fact that causes expiration-day effect in Taiwan stock market when SGX MSCI Taiwan Index Futures expired. The empirical results show that abnormal volumes and price volatilities exist during the last five-minute intervals when the futures contracts are expired. The frequency of price reversal on expiration days is also higher than that on non-expiration days. Regression analysis suggests that the expiration-day effect cannot be attributed to arbitrage activities. However, the effect can be explained by open interest and negative order imbalance, and the negative order imbalance cannot be ascribed to arbitrage activities. The results imply that manipulators tend to influence the closing prices by submit a significant large order during the last five-minute intervals. Hence, the empirical results support that the expiration-day effect in Taiwan is primarily caused by market manipulation, and the main manipulator is foreign institutions.