Expiration day effects and market manipulation: Evidence from Taiwan

被引：8
作者：
Chow E.H.-Y. [1 ]
Hung C.-W. [2 ]
Liu C.S.-H. [1 ]
Shiu C.-Y. [3 ]
机构：
[1] Department of Finance, College of Commerce, National Chengchi University, Taipei
[2] Department of Accounting Information, College of Business, Southern Taiwan University, Tainan
[3] Department of Finance, College of Management, National Central University, Taoyuan
来源：
Review of Quantitative Finance and Accounting | 2013年 / 41卷 / 3期
关键词：
Expiration effects; Final settlement price; Manipulation; Open interest;
D O I：
10.1007/s11156-012-0314-z
中图分类号：
学科分类号：
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'. © 2012 Springer Science+Business Media, LLC.
引用
收藏
页码：441 / 462
页数：21
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