The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange

A Study of Expiration-day Effects of Index Derivatives Trading in India

“…Alkeback and Hagelin 19 reported significantly high trading volume but insignificant price effects for Swedish market. Chou, Chen, and Chen 20 and Chaung, Chen, and Su 21 for Taiwan showed that expiration-day effects of index derivatives on return and volume were not significant on expiration days, but signs of abnormal volatility were observed in stock market during first 15 minutes on the settlement day, the day succeeding the expiration day on which final settlement price is determined from the first 15-minute volume-weighted average of each component stock’s prices in the index. Nam 22 studied 11 November 2010 stock market turmoil which occurred on the KOSPI200 options on expiration day and recommended the need for change in the settlement procedure.…”

Futures Market Sentiment and Institutional Investor Behavior in the Spot Market: The Emerging Market in Taiwan

“…The main advantage of the derivative lies in the requirement that the trading cost remain low and in the lack of limitations on speculation. Thus, the derivative can have a higher liquidity and develop the function of price discovery (Chou et al 2006a). In addition, there are dynamic relations between spot and futures markets; sentiment in the latter may be transmitted to the former.…”