Chow, Edward; Hung, Chung-Wen; Liu, Christine; Shiu, … - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 441-462
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...
