Expiration-day effects on individual sto
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Wen-Liang Gideon Hsieh
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Article
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2009
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John Wiley and Sons
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English
โ 197 KB
On expiration days of the MSCI-TW index futures, the Taiwan spot market is associated with abnormally large volume and high index volatility, along with mild index reversal. The effects concentrate only in the last five minutes of expiration days and appear to be strengthened by the adoption a call