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第六章 結論與建議
本文選取 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，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，通過實證分析，結果如下：
第一，價格反轉方面，在使用 Stoll 跟 Whaley(1987)方法所衡量的三種價格反 轉型態對假說一進行檢定之前，根據 Lilliefors 檢定可知大部分依照 RETi0 與 RETi1 的各種報酬率計算定義 Rev0、Rev1、Rev2 的樣本並不符合常態，因此使 用 Wilcoxon rank sum test 檢定到期日與非到期日的差別。結果指出，最後結 算日的 Rev0、Rev1、Rev2 等價格反轉衡量指標的平均數，都普遍大於非最後結 算日的平均數，最後結算日樣本與非最後結算日樣本的平均 Rev0、Rev1 或 Rev2 存在顯著差異。換言之，以 Stoll 跟 Whaley(1987)方法所進行的價格反轉檢定 分析結果，提供了滬深三百指數期貨的近月契約在最後結算日前後出現了明顯的 價格反轉的結果。
第二，成交量方面，本文採用 Stoll 跟 Whaley(1997)所定義之相對成交量做檢 驗。首先也是先根據到期日以及非到期日各個不同時間區間的樣本平均數進行 Lilliefors 檢定發現將近一半的樣本都不符合常態，因此成交量研究採用 Wilcoxon rank sum test。實證結果發現在各個時段下到期日成交量顯著大於非 到期日成交量，顯示到期日明顯有成交量異常的現象。
第三，波動度方面，對於到期日效應的觀察，在三十分鐘、十五分鐘以及五分鐘 報酬率模型中，只有五分鐘模型的收盤時刻呈現顯著的情況，代表到期日的波動 度效果可能只集中在收盤前五分鐘內，並且沒有延至隔日開盤的跡象，且 TOPEN 的係數普遍於零。這些證據大致上指出滬深三百指數期貨在最後交易日收盤時段 出現高價格波動，而在次日則呈現價格波動性降低的現象。此項證據與 Stoll and
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Whaley (1986, 1987), Edwards (1988a, b), Feinstein and Goetzmann (1988) 等研究相似。
不僅如此，本文的研究也發現價格反轉這個現象除了統計顯著之外，同樣也有經 濟意義，但是在把資料依據時間區分為前後兩部分之後也發現，價格反轉的經濟 意義有隨著時間遞減的現象。至於波動度異常的現象，各方皆有爭論，然而本研 究利用一分鐘高頻數據做實證分析，得知在到期日收盤前五分鐘波動度有集中的 現象，但是此種現象在收盤前三十分鐘以及十五分鐘並沒有發生，因此可知在檢 驗此種現象時，選取的時間區間是關鍵。中國內地證券市場起步較晚，雖然股指 期貨市場至今為止運行還算穩定，也令市場投資者有了避險的工具，但仍可對於 合約設計、保證金制度、交易成本、做市商制度、最小檔位跳動、參與者條件限 制等層面改進或放寬。迄今，資金極龐大的保險業僅能將資金交由資產管理公司 運行，尚未正式入市。若政府遲遲不放開保險業入市，有礙於期貨市場的健全成 熟發展；但若相關配套措施沒到位及開放，恐會加大市場的波動性。然而，中國 金融期貨交易所至今一直潛心研究、提供股指期貨的專業知識並鼓勵業者參與模 擬交易，相信中國內地的金融市場未來會更趨多元、成熟與穩定。
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