本研究主要探討交易時間延長是否會對期貨報酬與波動性產生影響，以台灣證券交易所股價指數期貨(台股期貨)為研究對象，利用2000 年1 月到2001 年12 月間之每日期貨指數收盤價為研究資料，主要結論如下：台股期貨報酬波動的GARCH 模型以ARMA(2,2)-GARCH(1,1)為最佳的模型配適；延長交易時間的前一年台灣期貨市場明顯存在超額之負報酬，在交易時間延長後則無明顯之超額報酬。延長交易時間實施前後的台灣期貨市場整體波動性並無顯著差異，因此若不考慮對總體經濟指標，如生產率、失業率的影響，單純就市場績效的觀點而言，全面推行全天交易是可行的。 This study mainly focuses on the impact of extending trading time on the return and volatility of futures. The daily price data dated from 2000.1-2001.12 of stock index futures was obtained from TAIFEX. The main research results include: The ARMA(2,2)-GARCH(1,1) model is the best fitted volatility model of this study. Excess negative return significantly exists in the year-before period of extending trading time, nonexistence with that in the year-after period. Overall volatility on Taiwan Futures Market doesn’t show significant difference before and after implementing extending trading time, plainly through perspective of market performance without considering macroeconomic factors such as productive rate, unemployment rate, overall pushing for all-day trading would be feasible.
