政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/62714
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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/62714


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    题名: Expiration Day Effects and Market Manipulation: Evidence from Taiwan/ Review of Quantitative Finance and Accounting
    作者: 周行一;徐政義
    Chow, Edward Hsing-Yi;Hung, Chung-Wen;Liu,Christine Shu-Hua;Shiu,Cheng-Yi
    贡献者: 財管系
    关键词: Expiration effects;Open interest;Final settlement price;Manipulation;G14;G15
    日期: 2013-10
    上传时间: 2013-12-19 11:55:59 (UTC+8)
    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’.
    關聯: Review of Quantitative Finance and Accounting, 41(3), 441-462
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1007/s11156-012-0314-z
    DOI: 10.1007/s11156-012-0314-z
    显示于类别:[財務管理學系] 期刊論文

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