The Study on Expiration Day Effect of TXO and Volatility Smile

• Main Authors: Zhen-hsiang Shin, 施振祥
• Other Authors: 羅庚辛
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/76719651323966181761

碩士 === 國立中央大學 === 企業管理研究所 === 95 === Expiration effects, including abnormal trade price, fiercer volatility of trade price, abnormal trading volume and price reversal, occurs on expiration days in the US financial market, but do not significantly take place for Hang Seng Index. This study used Masulis’ CPA to compare means and variations on expiration days and non-expiration days for TAIEX and TXO, to explore whether expiration effects exist in Taiwan financial market. The results of analysis were concluded as following：return volatility and smiling curve displayed expiration effects on days before expiration days, and so did return, return volatility, return reversal as well as smiling curve on expiration days；Return volatility and trading volume 15 minutes after the market opened on settlement days showed expiration effects, which means the particular procedure of settlement in Taiwan moved expiation effects to the settlement day. Overnight effects only existed from the settlement on days before expiration days to the market opening on expiration days.