Expiration Day Effects: Empirical Evidence from Taiwan by ProQuest

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									     Expiration Day Effects: Empirical Evidence from Taiwan
                     Shiaw-En Ju - National Central University in Taiwan, R.O.C.
                     Keng-Hsin Lo - National Central University, Taiwan, R.O.C.
                    Kehluh Wang - National Chiao Tung University, Taiwan, R.O.C.

                                                  ABSTRACT

This study examines the expiration day effects of TAIEX futures and options. Empirical evidences show
that abnormal volatility exists on the day before expiration day. Abnormal volume and abnormal re-
turn volatility are found in the first fifteen-minute w
								
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