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Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges

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  • Chung, Huimin
  • Hseu, Mei-Maun

Abstract

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.

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  • Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 107-120, April.
    • Handle: RePEc:eee:intfin:v:18:y:2008:i:2:p:107-120
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    Cited by:

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    2. Edward Chow & Chung-Wen Hung & Christine Liu & Cheng-Yi Shiu, 2013. "Expiration day effects and market manipulation: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 441-462, October.
    3. Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.
    4. Guglielmo Maria Caporale & Alex Plastun, 2023. "Witching days and abnormal profits in the us stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2182016-218, December.
    5. Kumar, S.S.S. & Sampath, Aravind, 2019. "What drives the off-shore futures market? Evidence from India and China," Finance Research Letters, Elsevier, vol. 30(C), pages 394-402.
    6. Alex Plastun & Ludmila Khomutenko & Serhii Bashlai, 2022. "Is There Any Witching in the Cryptocurrency Market?," JRFM, MDPI, vol. 15(2), pages 1-14, February.
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    8. Blasco, N. & Corredor, P. & Satrústegui, N., 2023. "Is there an expiration effect in the bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 647-663.
    9. Biao Guo & Qian Han & Maonan Liu & Doojin Ryu, 2013. "A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and the Singapore Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

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