The expiration effects of stock-index derivatives: Empirical evidence from the Taiwan futures exchange

Emerging Markets Finance and Trade

Volumn 42, Issue 5, 2006, Pages 81-102

  Chou, Heng Chih ^a   Chen, Wei Ning ^b   Chen, Dar Hsin ^c  

^a MING CHUAN UNIVERSITY   (Taiwan)

^b KAINAN UNIVERSITY   (Taiwan)

^c NATIONAL TAIPEI UNIVERSITY   (Taiwan)

Author keywords

Abnormal volume effect; Expiration effect; Price effect; Price reversal; Volatility effect

Indexed keywords

EID: 33749543011     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X420504     Document Type: Article

References (15)

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