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- Title
Expiration day effects and market manipulation: evidence from Taiwan.
- Authors
Chow, Edward; Hung, Chung-Wen; Liu, Christine; Shiu, Cheng-Yi
- Abstract
In this study, we analyze the expiration day effects of index futures on the cash market in Taiwan, and find that both volatility and trading volume are higher on the final settlement days than on other trading days. We also calculate the volume of open interest for the final settlement of index futures contracts relating to different classes of traders, as well as the profits they earn from their open interest positions. We find that proprietary traders exhibit superior performance whereas foreign investors achieve the worst returns. Our empirical results support the view that the expiration day effects in the Taiwan futures market are at least partially attributable to attempts at 'marking the close'.
- Subjects
TAIWAN; MARKET manipulation; MARKET volatility; SECURITIES trading volume; NUMERICAL calculations; FUTURES market; INVESTORS
- Publication
Review of Quantitative Finance & Accounting, 2013, Vol 41, Issue 3, p441
- ISSN
0924-865X
- Publication type
Article
- DOI
10.1007/s11156-012-0314-z