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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 futures contracts relating to different classes of traders, as well as the profits they earn from their open interest positions. We find that proprietary traders exhibit superior performance whereas foreign investors achieve the worst returns.

Part of Springer Nature. Not logged in Not affiliated Expiration day effects and market manipulation: Original Research First Online: Cite this article as: Rev Quant Finan Acc Andersen T, Bollerslev T, Diebold F, Ebens H The distribution of realized stock return volatility.

J Financ Econ Barber B, Lee Y, Liu Y, Odean T Just how much do individual investors lose by trading? Rev Financ Stud Bris A, Goetzmann W, Zhu N Efficiency and the bear: Chamberlain T, Cheung C, Kwan C Expiration-day effects of index futures and options: Financ Anal J 45 5: Chang C, Hsieh P, Lai H Do informed option investors predict stock returns?

Evidence from Taiwan stock exchange. J Bank Financ Chang C, Chen S, Chou R, Hsin C Intraday return spillovers and its variations across trading sessions.

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Moises Saba Masri, et al. Department of Finance, College of Commerce National Chengchi University Taipei Taiwan, ROC 2. Department of Accounting Information, College of Business Southern Taiwan University Tainan Taiwan, ROC 3.

Stock manipulation options expiration

Department of Finance, College of Management National Central University Taoyuan Taiwan, ROC. Publisher Name Springer US Print ISSN X Online ISSN About this journal Reprints and Permissions.

Hanesbrand Appeared Manipulated on Options Expiration Day - Hanesbrands Inc. (NYSE:HBI) | Seeking Alpha

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Expiration Date

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