Unwindings and Rollovers of Stock Index Futures ArbitrageStrategy for Predicting Expiration-Day Effects:Some Empirical Evidence from the Taiwan Stock Market
碩士 === 國立中央大學 === 財務金融研究所 === 94 === When a futures contract expires or near the time of settlement of price determination,the underlying spot market usually exhibits higher return volatility than other trading days, the so-called “expiration-day effects”. According to early studies, the expiration-...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43797545903324065990 |