| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 周行一 | zh_TW |
| dc.creator (作者) | Chow, Edward Hsing-Yi ; Hung, Chung-Wen ; Liu,Christine Shu-Hua ; Shiu,Cheng-Yi | en_US |
| dc.date (日期) | 2013-10 | en_US |
| dc.date.accessioned | 19-Dec-2013 11:55:59 (UTC+8) | - |
| dc.date.available | 19-Dec-2013 11:55:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Dec-2013 11:55:59 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/62714 | - |
| dc.description.abstract (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’. | en_US |
| dc.format.extent | 393584 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Review of Quantitative Finance and Accounting, 41(3), 441-462 | en_US |
| dc.subject (關鍵詞) | Expiration effects ; Open interest ; Final settlement price ; Manipulation ; G14 ; G15 | en_US |
| dc.title (題名) | Expiration Day Effects and Market Manipulation: Evidence from Taiwan/ Review of Quantitative Finance and Accounting | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1007/s11156-012-0314-z | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1007/s11156-012-0314-z | en_US |
