The Impact of Large Orders on the Final Settlement Prices of Sock Index Futures on TAIFEX

[[abstract]]實務上許多報導指出，大型投資人會為了使其在指數期貨市場上所持有的部位獲利，會在期貨契約的到期日，刻意拉抬或摜壓現貨市場的價格，試圖影響最後結算價。為了要探究台灣指數期貨到期時是否存在人為操控的現象，本論文以大額委託單作為大型投資人交易的代理變數，研究樣本為民國88年4月至民國91年12月臺灣期貨交易所的發行量加權股價指數期貨、金融保險類股價指數期貨與電子類股價指數期貨，所使用的資料為日內交易資料，實證結果發現： 1.在台指期契約標的現貨指數之最後結算價與最後交易日之間的報酬率，與大型投資人所 持有之期貨淨部位，呈現顯著的正相關。 2.在期貨交易所改變最後結算價的計算規則後，並無法有效地降低大型投資人對最後結算價的影響。 3.最後交易日收盤價與最後結算價的報酬率和最後結算價與到期日收盤價的報酬率呈現顯著的負相關。[[abstract]]Many practitioners believe that the large traders buy or sell the underlying stocks actively to manipulate the final settlement prices of stock index futures in those days approaching the expiration date. This study is explore the price manipulation effect by large traders on the final settlement prices of stock index futures on TAIFEX. The intraday transaction data of three stock index futures contracts (i.e. TAIEX futures, TSE Electronic Sector Index futures, and TSE Banking and Insurance Sector Index futures) on TAIFEX are used for this study. The sample period is from April 1999 to December 2002. The large order is the proxy of the transaction of large traders in this study. The empirical results are as following: 1.For TAIEX futures, the net directional volume of large traders is positively related to the returns, calculated from the final settlement price and the closed price on the last trading day. 2.After changing the calculating method of final settlement price, the manipulation effect remains. 3.The final settlement price to the closed price appears reverse in final settlement day