| dc.description.abstract | There are many researches discussing about the relationship between futures and spot goods since the derivative entered the market, especially the effect of derivative transaction on futures market, and expiration day effects is one of the important issues. Thus, this research paper is aimed at analyzing TXO which uses the Taiwan Stock exchange capitalization weighted stock index(TAIEX) as a target to determine the return of TAIEX, return on volatility and the volume according to expiration of TXO and whether it brings the price reversal phenomenon during the period starting from January, 2002 and ending in February, 2006.The control group of non expiration day is chosen from the average of three weeks before expiration week. The empirical results prove that in terms of return, there is no significance abnormal return in expiration day and the whole day before the expiration day. However, the abnormal return shows in intraday of expiration day. In regards to return volatility, it is significant that before and after the expiration day but not on expiration day. Regarding to volume, the significance abnormal volume only appears within the 15 minute after the opening quotation of settlement. As for price reversal, the significance price reversal phenomenon occurs in the return on the last 60 minutes before the closing quotation and the return on the closing quotation to the 15 minutes after the opening quotation of next day.
Moreover, this research is particularly focused on the curve level of option’s implied volatility smile before and after the expiration day. The smile curve increases as the expiration day approaches, and the possible reason is mainly because of the effect of market momentum variables. Call net buying pressure has more positive effects on call implied volatility smile when the expiration day approaching, while the put has less significance effects on put implied volatility smile. | en_US |