1 2 3 expiration effect * 1 2 3
52 expiration effect 2004 5 28 5 49.35 2.82 110 (2303) (2330) (1301) (1303) (1216) 104 5.08 5 94 6 5.23 894 110 12.3% (SIMEX) 1997 1 9 77 (Morgan Stanley Capital International Taiwan stock index futures, MSCI Taiwan stock index futures) (Taiwan Futures Exchange, TAIFEX) 1998 7 21 ( TAIFEX ) Samuelson(1965,1976)
53 Samuelson Hypothesis Stoll &Whaley(1987,1990b,1991) Stoll and Whaley (1987) Klemkosky(1978) Jarrow(1994) Samuelson Hypothesis
54 Samuelson(1965,1976) Stoll & Whaley (1987,1990b,1991) (SIMEX) 1997 1 9 (MSCI) 77 1 2 1 8:45 1:45 100 7% 10% 15% 0.1 10 5000 2250 : (2004/5/31)
55 2 2330 12.72 2371 0.69 2615 0.28 2303 6.28 9904 0.67 2391 0.28 2317 4.12 3012 0.66 2394 0.28 2882 4.01 2308 0.64 2023 0.28 2409 3.52 2327 0.58 2501 0.26 1303 3.18 2325 0.58 2854 0.26 2886 3.15 1605 0.57 2618 0.23 2002 3.14 2808 0.57 2312 0.23 1301 2.54 2349 0.57 2395 0.22 2891 2.51 1402 0.54 2411 0.22 2454 2.51 1216 0.54 1710 0.21 2883 2.45 2884 0.52 2610 0.21 2357 2.34 2912 0.5 2396 0.2 2881 1.85 1520 0.47 2343 0.19 3009 1.82 2201 0.47 1310 0.19 2382 1.74 2347 0.46 1802 0.19 2412 1.61 3008 0.46 2345 0.18 2324 1.6 2609 0.44 1604 0.18 2892 1.52 2388 0.44 9915 0.17 1326 1.49 2204 0.44 1451 0.16 2353 1.37 2356 0.43 1434 0.15 2887 1.22 3051 0.43 2316 0.14 2352 1.2 2376 0.39 2381 0.14 2880 1.12 2379 0.36 2313 0.14 3045 1.04 3019 0.36 9917 0.14 2301 1.03 2418 0.35 2515 0.13 2475 1 2105 0.34 2331 0.13 2801 0.99 1101 0.33 9921 0.12 2311 0.95 2603 0.32 2333 0.12 2344 0.92 1102 0.32 1717 0.12 2337 0.89 1907 0.31 1503 0.12 2323 0.86 2332 0.3 2526 0.11 2890 0.83 2377 0.3
56 2888 0.81 1504 0.28 : (2004/5/31) 1998 7 21 ( 100 ) 100 --------------------------------- 1 67% 3 50 4 3 8:45 1:45 200 7% 1 200 ( MTX ) 1. 2,000
57 2. 4,000 3. 4. : (2004/5/31) 4 50 1 2330 8.65% 26 2353 0.74% 2 2412 3.97% 27 2352 0.72% 3 2882 3.64% 28 2408 0.67% 4 2303 3.42% 29 3012 0.67% 5 6505 3.11% 30 2801 0.67% 6 2317 2.8% 31 2311 0.64% 7 1303 2.16% 32 2301 0.62% 8 2002 2.13% 33 2344 0.55% 9 2409 2.13% 34 2888 0.55% 10 2881 2.01% 35 2323 0.54% 11 2886 1.89% 36 2308 0.5% 12 1301 1.73% 37 2890 0.5% 13 3009 1.65% 38 1402 0.49% 14 1326 1.62% 39 2204 0.47% 15 2382 1.58% 40 9904 0.45% 16 2891 1.52% 41 2609 0.44% 17 2454 1.51% 42 2337 0.43% 18 2883 1.48% 43 2603 0.43% 19 2357 1.41% 44 2371 0.41% 20 3045 1.13% 45 2884 0.4% 21 2892 1.03% 46 2401 0.4% 22 2880 1.01% 47 2610 0.38% 23 2324 0.97% 48 2912 0.38% 24 2475 0.96% 49 2201 0.38% 25 2887 0.84% 50 1605 0.38%
58 : (2004/5/31) Board and Sutcliffe 1990 Φ t D t ln=α 0 +β 1 m t +β 2 Φ t +β 3 D t +µ t -------------------------------------------------- 2 1. Stoll and Whaley (1997) speculative strategies Jarrow 1994 2. cost of carry model F t =S t [1+(r t -d)(t-t)] ------------------------------------------------------ 3 carrying charge +
59 + + + + + + Chamberlain,Cheung and Kwan 1989 Programing trading Stoll and Whaley 1987 3.
60 Stoll and Whaley 1990 Figlewski(1984) George,Jot Tony 1997 NAI FU,Charles Robert A 1995 S P500 2000 1997 6 CME NYSE NYFE S P500 NYSE Stoll and Whaley 1990a Stoll and Whaley 1997 Stoll and Whaley 1989 REV Herbst and Maberly 1991 EPR S P500 EPR Herbst and Maberly 1990 Stoll and Whaley 1991 S P500 NYSE Samuelson(1965,1976) Samuelson Hypothesis Stoll & Whaley(1987,1990b,1991)
61 (2003) Samuelson Hypothesis(1965,1967) Stoll & Whaley (1987,1990b,1991) Stoll & Whaley (1987,1990b,1991) (2003) (2003) TAIFEX Edwards(1988a,b) Pope & Yadav(1992) Chamberlain(1989) Board & Sutcliffe(1990) FE-SE 100 Chen,Duan & Hung(1999) 225 Segall(1956) Chiang & Tapley(1983) Herbst & Maberly(1990) S&P500 S&P100 Chen,Duan & Williams(1994) S&P100 Karolyi(1996) 2002 2002 2004 (2000)
62 - ( ) 2001 1959 1960 9 1961 10 23 1961 2 9 - (Taiwan Stock Exchange TSE) 1981 1990 12 29 (QFII) 25 1991 3 4 1993 8 50 1994 4 75 50% 1995 2 1996 3 2001 1 (QFII) 87 7 21 9 93 10 74 SIMEX
63 5 6 5 1998 1999 2000 2001 2002 2003 2004 1 1/20 1/21 1/19 1/20 1/17 1/18 1/16 1/17 1/15 1/16 1/27 1/28 2 2/20 2/22 2/16 2/17 2/21 2/22 2/20 2/21 2/19 2/20 2/18 2/19 3 3/17 3/18 3/15 3/16 3/21 3/22 3/20 3/21 3/19 3/20 3/17 3/18 4 4/21 4/22 4/19 4/20 4/18 4/19 4/17 4/18 4/16 4/17 4/21 4/22 5 5/19 5/20 5/17 5/18 5/16 5/17 5/15 5/16 5/21 5/22 5/19 5/20 6 6/16 6/17 6/21 6/22 6/20 6/21 6/19 6/20 6/18 6/19 6/16 6/17 7 7/21 7/22 7/19 7/20 7/18 7/19 7/17 7/18 7/16 7/17 7/21 7/22 8 8/18 8/19 8/16 8/17 8/15 8/16 8/21 8/22 8/20 8/21 8/18 8/19 9 9/16 9/17 9/15 9/16 9/20 9/21 9/19 9/20 9/18 9/19 9/17 9/18 9/15 9/16 10 10/2 10/2 10/2 10/2 10/1 10/19 10/17 10/18 10/16 10/17 10/15 10/16 10/20 10/21 1 2 0 1 8 11 11/1 11/1 11/1 11/1 11/1 11/16 11/21 11/22 11/20 11/21 11/19 11/20 8 9 7 8 5 12 12/1 12/1 12/1 12/1 12/2 12/21 12/19 12/20 12/18 12/19 12/17 12/18 6 7 5 6 0 : 6 1998 1999 2000 2001 2002 2003 2004 1 1/29 1/28 1/30 1/30 1/27 1/29 2 2/25 2/25 2/27 2/26 2/26 2/26 3 3/30 3/30 3/29 3/28 3/28 3/30 4 4/29 4/28 4/27 4/29 4/29 4/29 5 5/28 5/30 5/30 5/30 5/29 5/28 6 6/29 6/29 6/28 6/27 6/27 6/29 7 7/29 7/28 7/31 7/30 7/30 7/29 8 8/30 8/30 8/30 8/29 8/28 8/30 9 9/29 10/6 9/29 9/27 9/27 9/29 9/29 10 10/30 10/29 10/30 10/30 10/30 10/30 10/28 11 11/27 11/29 11/29 11/29 11/28 11/27 12 12/30 12/27 12/29 12/28 12/30 12/30 :
64 (Basis) (Carrying Charge) (Backwardation Market) (cost of carry model) F t =S t e (r-d)(t-t) ---------------------------------------------------------------- (4) F t t S t t r d T-t t B t =S t -F t =S t -S t e (r-d)(t-t) =S t (1- e (r-d)(t-t) ) ------------------------------------------------- (5) (5) S t 0 0 e (r-d)(t-t) 1 B t (2000) I t =F t -S t =-(S t -F t ) =-B t ----------------------------------------------------- (6) 0 0 ( ) I -1 ( ) Barclay Warner(1993) ( ) ( ) V t = - (2002) V t-1 V t-2
65 V t ( ) (Cover) (Open Interset) (2000) O t O t =100% [ln( )-ln( )] R =100% [lnf - lnf -1 ] --------------------------------------------- (7) F F -1 R =100% [lnf - lnf -1 ] -------------------------------------------- (8) F F -1 CR =100% [lncp lnf] -------------------------------------------- (9) CP F t t ECR=100% [lncp - lnf -1 ] --------------------------------------- (10) CP F -1 R -1 =100% [lnf -1 - lnf -2 ] --------------------------------------- (11)
66 F -1 F -2 R i,0 =α 0 +α 1 I i,-1 +α 2 V i,0 +α 3 V i,-1 +α 4 V i,-2 +α 5 O i,0 +α 6 R i,-1 +ε i --------------- (12) I i,-1 V i,0 ( ) V i,-1 ( ) V i,-2 ( ) O i,0 R i,-1 R i,0 ε i ECR i,0 =α 0 +α 1 I i,-1 +α 2 V i,0 +α 3 V i,-1 +α 4 V i,-2 +α 5 O i,0 +α 6 R i,-1 +ε i --------------- (13) I i,-1 V i,0 ( ) V i,-1 ( ) V i,-2 ( ) O i,0 R i,-1 ECR i,0 ε i CR i,0 =α 0 +α 1 R i,0 +ε i --------------------------------------------------- (14) CR i,0 R i,0
67 ε i 74 (OLS) Eviews 3.0 1 way ANOVA,1 way Analysis Of Variance Stoll and Whaley 1990a Stoll and Whaley H 1a 2001 10 H 1b 2002 7 1 H 1c R in µ α i ε in ----------------------------------------------------- (15) R in i n µ α i i ε in, NID 0,σ 2 i=1,2,,i n=1,2
68 7 7 R 0 CR 0 ECR 0 R 0-0.14333-0.25324-0.39658-0.21369 0.258491 0.144572 0.322429 0.209375-0.15645-0.14083-0.17674-0.42521 #N/A #N/A #N/A #N/A 2.223623 1.243658 2.773642 1.801108 4.944498 1.546686 7.693092 3.243989 1.129672 5.442145 1.398376-0.38832-0.05448-1.18814-0.56249 0.065087 13.68951 8.826221 16.20834 7.752379-7.23905-5.97245-9.57467-4.05605 6.450457 2.85377 6.633664 3.696327-10.6066-18.7401-29.3468-15.8127 74 74 74 74 8 p-value=0.000385 10% 8 Dependent Variable: R 0 Method: Least Squares Date: 11/13/04 Time: 09:39 Sample(adjusted): 1 74 Included observations: 74 after adjusting endpoints Variable Coefficien t Std. Error t-statistic Prob.
69 C -0.298779 0.199704-1.496107 0.1393 I -1-0.259843 0.155763-1.668193 0.0999 * V 0 0.027086 0.005536 4.892407 0.0000 *** V -1-0.013973 0.008555-1.633409 0.1071 V -2 0.000465 0.006126 0.075881 0.9397 O 0-0.000288 0.005482-0.052584 0.9582 R -1-0.116911 0.093073-1.256124 0.2134 R-squared 0.301398 Mean dependent var -0.213685 Adjusted R-squared 0.238837 S.D. dependent var 1.801108 S.E. of regression 1.571371 Akaike info 3.831590 criterion Sum squared resid 165.4368 Schwarz criterion 4.049542 Log likelihood -134.7688 F-statistic 4.817636 Durbin-Watson stat 1.792540 Prob(F-statistic) 0.000385 *** * ** *** 10% 5% 1% ( 9) p-value=0.00002 9 Dependent Variable: R 0 Method: Least Squares Date: 11/13/04 Time: 09:22 Sample(adjusted): 1 74 Included observations: 74 after adjusting endpoints Variable Coefficien t Std. Error t-statistic Prob. C -0.032940 0.234733-0.140328 0.8888 I -1-0.025137 0.007372-3.409811 0.0011 *** V 0 0.027283 0.006341 4.302558 0.0001 *** V -1 0.001255 0.007593 0.165296 0.8692
70 V -2-0.016881 0.008341-2.023854 0.0470 ** O 0 0.006072 0.003877 1.566136 0.1220 R -1-0.173295 0.116308-1.489969 0.1409 R-squared 0.367734 Mean dependent var -0.143333 Adjusted R-squared 0.311113 S.D. dependent var 2.223623 S.E. of regression 1.845589 Akaike info 4.153291 criterion Sum squared resid 228.2153 Schwarz criterion 4.371243 Log likelihood -146.6718 F-statistic 6.494682 Durbin-Watson stat 2.395679 Prob(F-statistic) 0.000020 *** * ** *** 10% 5% 1% 10 Dependent Variable: ECR 0 Method: Least Squares Date: 11/13/04 Time: 09:27 Sample(adjusted): 1 74 Included observations: 74 after adjusting endpoints Variable Coefficien t Std. Error t-statistic Prob. C -0.210525 0.291758-0.721574 0.4731 I -1-0.039097 0.009163-4.266917 0.0001 *** V 0 0.030833 0.007882 3.912072 0.0002 *** V -1 0.006372 0.009437 0.675230 0.5019 V -2-0.019384 0.010367-1.869725 0.0659 * O 0 0.003897 0.004819 0.808593 0.4216 R -1-0.076355 0.144563-0.528180 0.5991 R-squared 0.372206 Mean dependent var -0.396578 Adjusted R-squared 0.315985 S.D. dependent var 2.773642 S.E. of regression 2.293946 Akaike info 4.588241 criterion Sum squared resid 352.5666 Schwarz criterion 4.806193 Log likelihood -162.7649 F-statistic 6.620474
Durbin-Watson stat 2.008848 71 Prob(F-statistic) * ** *** 10% 5% 1% 0.000016 *** ( 11)p-value=0.0629 11 Dependent Variable: CR 0 Method: Least Squares Date: 11/13/04 Time: 09:31 Sample(adjusted): 1 74 Included observations: 74 after adjusting endpoints Variable Coefficien t Std. Error t-statistic Prob. C -0.235824 0.142393-1.656151 0.1020 R 0 0.121540 0.064338 1.889078 0.0629 * R-squared 0.047224 Mean dependent var -0.253245 Adjusted R-squared 0.033990 S.D. dependent var 1.243658 S.E. of regression 1.222339 Akaike info 3.266065 criterion Sum squared resid 107.5762 Schwarz criterion 3.328337 Log likelihood -118.8444 F-statistic 3.568614 Durbin-Watson stat 1.877277 Prob(F-statistic) 0.062909 * * ** *** 10% 5% 1%
72 H 0a H 1a ( 12) p-value=0.026961<0.05 Stoll and Whaley 12 ECR 0 R 0 2.034082 1.464917 3.658351 1.114897 74 74 0 114 t 2.241028 P(T<=t) 0.013481 ** 1.658329 P(T<=t) 0.026961 ** 1.980993 * ** *** 10% 5% 1% ( 13) p-value=0.046902<0.05 13 CR 0 2001 10 1998 9 ~2004 10 ~2001 9
1.090672 0.669102 1.294805 0.290616 37 37 0 51 t 2.036564 P(T<=t) 0.023451 ** 1.675285 P(T<=t) 0.046902 ** 2.007582 * ** *** 10% 5% 1% 73 ( 14)p-value=0.091762<0.1 10% R 0 14 2002 7 1998 9 ~2004 10 ~2002 6 1.617616 1.214054 1.277117 0.780834 46 28 0 67 t 1.710708 P(T<=t) 0.045881 ** 1.667916 P(T<=t) 0.091762 * 1.996009 * ** *** 10% 5% 1%
74 2001 12 24 74 2003 2 1. TAIFEX 2.
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