@article{fb68b8264f2a4672ab6dfd7230621461,
title = "Expiration day effects and market manipulation: Evidence from Taiwan",
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'.",
keywords = "Expiration effects, Final settlement price, Manipulation, Open interest",
author = "Chow, {Edward Hsing Yi} and Hung, {Chung Wen} and Liu, {Christine Shu Hua} and Shiu, {Cheng Yi}",
note = "Funding Information: Acknowledgments We are grateful to C. F. Lee (the editor) and the anonymous referee for their constructive comments and suggestions. We also thank seminar participants at the 23rd Australasian Finance and Banking Conference, the 17th Conference on the Theories and Practices of Securities and Financial Market in Kaohsiung, Taiwan (National Sun Yat-sen University, Kaohsiung, Taiwan), the 19th Global Finance Conference (Chicago, IL, USA) and the 5th NCTU International Finance Conference (Hsinchu, Taiwan) for the valuable comments provided. We would like to acknowledge the financial support provided by a grant from the TDPA at the Ministry of Economic Affairs, ROC (Grant No. 98-EC-17-A-29-S2-0085) for which we are extremely grateful.",
year = "2013",
month = oct,
doi = "10.1007/s11156-012-0314-z",
language = "???core.languages.en_GB???",
volume = "41",
pages = "441--462",
journal = "Review of Quantitative Finance and Accounting",
issn = "0924-865X",
number = "3",
}