Empirical Study of Expiration Effects of TX expiration days and Settlement days.

• Main Authors: Chi-Jang Guo, 郭其彰
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/62571468594577984083

碩士 === 義守大學 === 管理研究所碩士班 === 94 === In America, the “Triple witching hours” is notorious. “Triple witching hours” is from index futures, index options and stock options settling in the same time, causes occasional abnormal stock price movements. This study is curious about the phenomenon of expiration effects existing or not in Taiwan. The biggest market mover in Taiwan stock market is Foreign Investors, Investment Trusts and Dealers. They could manipulate their own funds and securities to effect comparative low trading volume TAIEX. So, this study tried testing TAIEX’s price reversals and abnormal trading volume to make sure Expiration Effects existing or not. The data comes from securities and future institute website, and the period is from 1999 March to 2006 March. The results are: 1. The trading volume of expiration days and non-expiration days is with significant different. But the price reversals are not significant. 2. Settlement day open time trading volume does not exist significant different, but price reversals do. 3. The trading volume both in three years and before three years both in expiration day and non-expiration day have significant difference; But the price reversals both in three years and before three years both in expiration day and non-expiration day do not. Therefore, this study suggests risk aversions hedging or exiting to wait and see during the last 30 minutes of expiration day and first 30 minutes of settlement day.