Expiration-Day Effects and Settlement Procedures ofMSCI Taiwan Index Future: The Impact on Stock Market

• Main Authors: I-Chang Lee, 李奕璋
• Other Authors: Tsun-Siou Lee
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/47854649919448475726

碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === This thesis investigates the expiration-day effects of MSCI Taiwan Stock Index Futures traded on SGX, and examines whether there are abnormal phenomena on expiration days. The sample period is selected from July 2006 to December 2011, including 66 months. The samples are divided into three sub-periods to test the difference in expiration-day effects before and after the new settlement procedure was executed, and during the Financial Crisis that occurred in 2008. Analyzing the intra-day minute data by Wilcoxon signed rank test, the empirical results show that the price volatility and trading volume on expiration days became significantly larger than benchmark days after November 2009, when the settlement procedure changed from using closing price to using 30 minutes average price before closing. This result contradicts the view that using an average price settlement would mitigate expiration-day effects. In addition, there are abnormal price reversal and abnormal trading volume measured by shares per trade during the whole sample period, and their occurring periods tend to lengthen congruously. It implies that there is a correlation between the expiration-day effects and the trading behavior of financial institutions. In terms of return, abnormal return doesn’t exist on expiration days, but the return after the opening on next to expiration days is significantly lower than benchmark days, after the settlement procedure was changed.