| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === This thesis empirically tests expiration effect of the MSCI Taiwan, one of the index futures contracts listed on the Singapore Exchange with the underlying asset of the Taiwan stock index TSI. A time series intra day of five minute data set is used for the study period from 1 July 2002 to the end of 2004. i.e., on the expiration day of MSCI Taiwan, returns and price volatilities of the underlying asset are examined. It is found that the price behavior is abnormal. Then possible factors which might induce such abnormal fluctuations are analyzed in cross section. Major findings are listed below.
1. On the expiration day of MSCI Taiwan, the underlying asset shows no significance in abnormal returns, but shows significance in price volatilities especially during the last 30 minutes before expiration. That is expiration effect exists only on the last 30 minutes on the expiration day.
2. Abnormal volatilities of the underlying asset found is directly associated with the number of contracts rolled forward on the 4th day, the number of contracts outstanding on the first day, the basis on the second day, and the number of purchase of underlying assets by foreign investors on the forth day before the expiration day.
3. In cross sectional analysis, abnormal returns of the underlying asset found is directly associated with the number of contracts outstanding on the second day, the number of purchase of underlying assets by foreign investors on the day and the 4th day, the basis on the fist day, the number of contracts rolled forward on the 4th day before the expiration day.
Similar to the previous studies, the author speculates that such expiration effect is attributed to the manipulation of block trades by foreign investors.
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