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

Chung, Huimin; Hseu, Mei Maun

doi:10.1016/j.intfin.2006.06.004

Cited by 17 publications

(12 citation statements)

References 25 publications

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“…First, the Singapore Exchange introduced SGX Nikkei225 Index Futures and SGX Morgan Stanley Capital International (MSCI) Taiwan Index Futures well before these two markets introduced their own futures contracts. Previous studies have shown that these offshore contracts have had considerable influence on the domestic markets (e.g., Chung and Hseu 2008;Covrig et al 2004;Hsieh and Ma 2009;Roope and Zurbruegg 2002). Second, China is the latest market to introduce its own financial futures.…”

mentioning

confidence: 99%

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

Guo

Han

Liu

et al. 2013

Emerging Markets Finance and Trade

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This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one-and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities Index 300 index futures dominate Singapore's A50 index futures in both intraday price discovery and intraday volatility transmission. However, A50 futures contracts also make a substantial contribution (26-37 percent) to the price discovery process. These results have important implications for both traders and policymakers.

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confidence: 99%

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

Guo

Han

Liu

et al. 2013

Emerging Markets Finance and Trade

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“…2 Stoll and Whaley (1991), and Chen and Williams (1994) investigate whether the change in the settlement of the S&P 500 and NYSE index derivatives from closing to opening index values in June 1987, has had the desired effect of reducing expiration-day effects. By comparing two contemporaneously traded futures on nearly the same underlying, but under different settlement procedures (the TAIEX futures traded in Taiwan and the MSCI-TW futures traded in Singapore), Hsieh and Ma (2009) and Chuang and Hseu (2008) find that the average price settlement is superior to the closing settlement. In 2001, the Taiwan Futures Exchange changed the settlement price for the TAIEX index futures from opening to the average price based on the 15-minute period after the market opening.…”

Section: Literature Reviewmentioning

confidence: 97%

“…Their results show that the change of settlement price only shifted expiration-day effects, from the last to the first hour of the triple witching Friday. However, Chuang and Hseu (2008) and Hsieh (2009) report that expiration-day effects due to MSCI-TW futures expirations seem to become more pronounced following the adoption of a call auction closing procedure. A recent study by Hsieh and Ma (2009) lends support for this regulatory change.…”

Section: Literature Reviewmentioning

confidence: 99%

“…If a regulatory change occurs, a further mean comparison on the same set of measures on expiration days before and after the event reveals some information of the impact of the regulatory change on expiration-day effects as in, for example, Stoll and Whaley (1991) and Chuang and Hseu (2008). If a regulatory change occurs, a further mean comparison on the same set of measures on expiration days before and after the event reveals some information of the impact of the regulatory change on expiration-day effects as in, for example, Stoll and Whaley (1991) and Chuang and Hseu (2008).…”

Section: Regression Model and Hypothesesmentioning

confidence: 99%

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Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches

2013

Journal of Futures Markets

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Recently, the NASDAQ‐OMX Nordic Exchange announced a change of expiration day for the OMXS 30 index futures and options. The OMXS 30 index derivatives used to expire on the fourth Friday of the expiry month while derivatives on individual stocks expired on the third Friday. After the change, derivatives on both the index and individual stocks expire on the third Friday of the expiry month making the third Friday the “quadruple witching Friday” as stock futures, stock options, index futures, and index options expire simultaneously. This contractual change provides a unique opportunity to investigate its impact on expiration‐day effects. The results show that there is hardly any expiration‐day effect due to the derivatives' expirations before or after the contractual change, except the abnormally higher trading volumes at the stock derivatives' expirations before the change, and on the quadruple witching Fridays after the change. Most importantly, there is no significantly intensified abnormal volume, volatility, or price distortion effect due to the seemingly “extraordinary” change in the OMXS 30 index derivatives, despite the quadruple witching expirations after the change. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:868–882, 2014

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“…Reversals are calculated between the last five-minute interval (R t ) and the overnight close-to-open returns ( ), because significant abnormal volume and volatility are observed only during these intervals. The three reversal measures are specified as R tϩ1 8 The same view is shared by Chung and Hseu (2007), who document greater TAIEX index volatility after the TSE adopted the closing call procedure. (3) (4) and (5) We report the mean reversal for expiration days and the five non-expiration day samples in Table III.…”

Section: ϫ75mentioning

confidence: 99%

Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan

Hsieh

2009

Journal of Futures Markets

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On expiration days of the MSCI-TW index futures, the Taiwan spot market is associated with abnormally large volume and high index volatility, along with mild index reversal. The effects concentrate only in the last five minutes of expiration days and appear to be strengthened by the adoption a call auction closing procedure by the Taiwan Stock Exchange. Individual index stocks show high volatility and strong tendency of price reversal, with large-and small-cap stocks being affected more than the medium-sized stocks. The highest-weighted stocks exhibit excessive volume and volatility, which is disproportionate to the impact on all other index stocks, indicating that the expiration-day effects may have been amplified by the attempt of price manipulation using large-cap stocks.

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

Cited by 17 publications

References 25 publications

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches

Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan

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