Expiration-day effects: Does settlement price matter? ☆
Expiration-day effects: Does settlement price matter? ☆
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到期日影响：结算价格重要吗☆
DOI：
10.1016/j.iref.2007.05.010
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发表时间：
2009
影响因子：
4.5
通讯作者：
T. Ma
中科院分区：
文献类型：
--
作者：
Shu;T. Ma
我们比较了标的现货市场相同但结算机制不同的两种指数期货合约--台交所期货和新加坡交易所TW期货的到期日效应。通过考虑其他因素，如未平仓权益和机构交易者的活动，我们发现结算机制和交易者的结构会影响到期日效应。在最小化到期日效应方面，平均价好于开盘价，开盘价又好于收盘价结算。此外，结果还表明，境外机构交易者的交易活动增加了到期日效应。
We compare the expiration-day effects of two index futures contracts, TAIEX futures and SGX TW futures, which have the same underlying spot market, but different settlement mechanisms. By taking into account other factors such as open interests and institutional traders' activities, we find that the settlement mechanism and traders' structure affect expiration-day effects. In terms of minimizing expiration-day effects, the average price is better than the opening price, which in turn is better than the closing price settlement. Moreover, the results also demonstrate that foreign institutional traders' trading activities increase expiration-day effects.