Expiration day effects and market manipulation: Evidence from Taiwan

Edward Hsing Yi Chow, Chung Wen Hung, Christine Shu Hua Liu, Cheng Yi Shiu

Research output: Contribution to journalArticlepeer-review

10 Scopus citations


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'.

Original languageEnglish
Pages (from-to)441-462
Number of pages22
JournalReview of Quantitative Finance and Accounting
Issue number3
StatePublished - Oct 2013


  • Expiration effects
  • Final settlement price
  • Manipulation
  • Open interest


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