Expiration day effects and market manipulation: Evidence from Taiwan

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/104842

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题名:	Expiration day effects and market manipulation: Evidence from Taiwan
作者:	徐政義;Chow, Edward Hsing-Yi;Hung, Chung-Wen;Liu, Christine Shu-Hua;Shiu, Cheng-Yi
贡献者:	管理學院財務金融學系
关键词:	Accounting/Auditing;Arbitrage;Corporate Finance;Derivatives;Econometrics;Economics and Finance;Finance;Foreign investment;Futures;Futures market;Futures trading;Hypotheses;Indexes;Investors;Manipulation;Markets;Operations Research/Decision Theory;Original Research;Prices;Profits;Proprietary;Put & call options;Securities markets;Stock exchanges;Studies;Volatility
日期:	2013-10-01
上传时间:	2026-04-23 11:59:35 (UTC+8)
出版者:	Springer New York;Boston: Springer US
摘要:	摘要： 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’. 其他題名： Rev Quant Finan Acc 出版者： Boston: Springer US 出版日期： 2013-10-01 出處： Review of quantitative finance and accounting, 2013-10, Vol.41 (3), p.441-462 資源來源： ABI/INFORM Collection 版權： Springer Science+Business Media, LLC 2012 版權： Springer Science+Business Media New York 2013 識別號： ISSN: 0924-865X 識別號： EISSN: 1573-7179 識別號： DOI: 10.1007/s11156-012-0314-z
显示于类别:	[財務金融學系] 期刊論文

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