A Study the Impacts of Settlement Rule Changes on Expiration Days

• Main Authors: Lin-yung tai, 林永泰
• Other Authors: Huang-honming
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/30661137434101485808

碩士 === 國立中央大學 === 財務金融研究所 === 98 === A Study the Impacts of Settlement Rule Changes on Expiration Days ABSTRACT This research studies the impacts of settlement rule changes, which started from 21st Nov. 2008, on expiration days. The data of this research comes from intraday transaction database of Taiwan Futures Exchange Co., Taiwan Stock Exchange Co., and Taiwan Economic Journal Co., Ltd. This research uses price reversals model and return volatility model proposed by Stoll & Whaley (1987, 1990) to analyze the effect. The result illustrates that return volatilities on expiration dates are obviously decreasing since settlement rules change and the return volatilities increase before expiration dates. However, this research doesn’t find similar patterns about price reversals. Based on these findings, this research concludes that only return volatility effect holds after settlement rule changes in 2008. Key words: expiration day effect, price return volatility