Title: 股價指數期貨轉倉方法實證--以台灣期貨交易所發行之四種契約為研究樣本
Rolling Over Stock Index Futures Contracts--- Evidence from Four Contracts Launched by TAIFEX
Authors: 張文盈
謝文良
財務金融研究所
Keywords: 轉倉;股價指數期貨;到期效應;roll over;stock index futures;expiration effect
Issue Date: 2009
Abstract: 單一期貨契約生命有限,但實務交易和學術研究都需要長期且連續的期貨價格序列用以輔助策略或模型之驗證,透過轉倉能將不同契約之價格串連起來建構出一個連續的期貨價格序列。本研究主要目的在於探討是否使用不同轉倉方法建構出的台灣股價指數期貨報酬序列之間有顯著差異。樣本期間從2002年1月2日到2009年12月31日,使用五種轉倉方法分別為台灣期貨交易所發行之四種股價指數期貨建立價格序列,並檢定這些價格序列計算出的報酬序列之間是否有顯著差異。實證結果顯示儘管這四種期貨契約具有相同類型的交易標的,但使用不同轉倉方法建構出的價格序列之間還是不相同,因此無法以交易標的的類型判斷應使用何種轉倉方法。
A futures contract has a finite life limited by its maturity. However, the construction of continuous futures price series is important for both trading and academic purposes, and this can be made by rolling over different contracts. This study analyze whether the choice of different roll over methods construct different futures price series or not. This study have used five roll over criterions to build price series for four stock index futures contracts traded in TAIFEX between January 2, 2002, and December 31, 2009, and tested if there are significant differences between return series calculated by futures price series. Though these contracts have similar underlying assets, the results show that the constructed futures series are different.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079739508
http://hdl.handle.net/11536/45643
Appears in Collections:Thesis


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