Expiration day effects and market manipulation: evidence from Taiwan

Edward Chow (), Chung-Wen Hung (), Christine Liu () and Cheng-Yi Shiu ()

Review of Quantitative Finance and Accounting, 2013, vol. 41, issue 3, 462 pages

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’. Copyright Springer Science+Business Media, LLC 2013

Keywords: Expiration effects; Open interest; Final settlement price; Manipulation; G14; G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11156-012-0314-z

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