We set out in this study to analyze the expiration effects of index futures on the cash market in Taiwan, and find that both volatility and trading volume are higher on the final settlement days as compared to normal trading days. We also calculate the volume of open interest for final...

This paper proposes three hypotheses based on stock market conditions to explain why Taiwanese IPO auctions have lost market share to fixed-price offers: the risk-averse issuer hypothesis, the pricing conflict hypothesis, and the demand inelasticity of stocks hypothesis. The risk-averse issuer...

In this study, we analyze the expiration day effects of index futures on the cash market in Taiwan, and find that both volatility and trading volume are higher on the final settlement days than on other trading days. We also calculate the volume of open interest for the final settlement of index...