本研究旨在探討連續假期對於指數期貨之報酬率、成交量、未平倉口數與其選擇權隱含波動率之影響，以臺灣證券交易所股價指數期貨及選擇權為研究對象，研究方法為事件研究法與OLS最小平方法。研究期間為2010至2021年，共12年，以三天及以上之連續假期作為事件，以連續假期前後5日為事件期，進行分析研究；實證研究結果顯示，台灣期權市場存在連假效應，且連假前的台灣指數期權部位變化對連假後台灣指數期貨5日累積異常報酬有影響並於假期8天以上之連假其影響有結構性改變。 This study aims to explore the impact of consecutive holidays on the return of price, trading volume, open positions, and implied volatility of options for index futures. The research object is Taiwan Stock Exchange stock index futures and options. The research method is Event study method and OLS. The research period is from 2010 to 2021, a total of 12 years, with three days or more consecutive holidays as the event, and 5 days before and after the continuous holiday as the event period ; the empirical research results show that there is a continuous holiday effect in the Taiwan derivative market, Moreover, the change of derivative positions of Taiwan index before the consecutive holidays has an impact on the accumulated abnormal returns of Taiwan index futures for 5 days after the consecutive holidays, and the impact has a structural change in the continuous holidays of more than 8 days.
