کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963314 | 930299 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper examines the expiration day effects of Taiwan Futures Exchange (TAIFEX) Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) futures (TX), and Singapore Exchange (SGX) Morgan Stanley Capital International (MSCI) Taiwan stock index (MSCI-TW) futures, under different settlement procedures. The results indicate significant price reversal, volatility and abnormal volume stemming from the expiration of the MSCI-TW futures, as compared to the TX, with the expiration day effects becoming much more significant following the adoption of the 5Â min closing call procedure by the Taiwan Stock Exchange Corporation (TSEC). The results would seem to support the view that using an average price settlement based on a longer period would mitigate expiration day effects much better than a closing price settlement.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 2, April 2008, Pages 107-120
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 2, April 2008, Pages 107-120
نویسندگان
Huimin Chung, Mei-Maun Hseu,