Expiration day effects and market manipulation: evidence from Taiwan

Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

“…Volume effects have been investigated on several markets and also mostly confirmed on the spot markets of Germany (Schlag 1996), Sweden (Alkebäck and Hagelin 2004), India (Vipul 2005;Debasish 2010;Tripathy 2010;Narang and Vij 2013;Mahalwala 2016), Poland (Morawska 2007), China (Fung and Jung 2009), Spain (Illueca and Lafuente 2006), and Taiwan (Chow et al 2013).…”

“…Most of them reported a rise in volatility on expiration days. This stream of research includes contributions for the U.S. (Stoll and Whaley 1986;Day and Lewis 1988;Diz and Finucane 1998), Australia (Stoll and Whaley 1997;Lien and Yang 2005), Canada (Chamberlain et al 1989), Sweden (Alkebäck and Hagelin 2004), Spain (Illueca and Lafuente 2006), Poland (Morawska 2007), India (Narang and Vij 2013;Agarwalla and Pandey 2013), and Taiwan (Chow et al 2013).…”

“…For example, Illueca and Lafuente (2006) checked that, within the last interval of trading (16:00-17:30) on the expiration days of Ibex35 futures between January 2000 and December 2002, the total volume of the stocks was 33% higher on average than during the same period of time on control days. Chow et al (2013) studied the expiration-day effects of futures on the TAIFEX index. Starting in December 2008, the settlement price of these contracts was equal to the average price of the index during the 30-min period prior to market closure on the final trading day.…”

“…The expiration-day effects of futures contracts have been detected in studies on stock markets, including those of the U.S., Canada, Germany, Sweden, Japan, India, and Australia (see, for example, Karolyi 1996;Schlag 1996;Stoll and Whaley 1997;Alkebäck and Hagelin 2004;Vipul 2005;Debasish 2010;Tripathy 2010;Narang and Vij 2013;Fung and Jung 2009;Illueca and Lafuente 2006;Chow et al 2013;Mahalwala 2016).…”

Trader types and fleeting orders: Evidence from Taiwan Futures Exchange

“…They exhibit certain distinct trading characteristics. Chou, Wang, Wang, and Bjursell (2011) document that proprietary traders prefer to execute their trades in a short time horizon, and Chow, Hung, Liu, and Shiu (2013) show that they hold relatively small open positions compared with other trader types. Moreover, Chiu, Chung, and Wang (2014) show that proprietary traders often have access to order flow information since they usually hire a large number of traders to monitor order flow from the limit order book to capture instant trading opportunities.…”