✦ LIBER ✦

The stock closing calland futures price behavior: Evidence from the Taiwan futures market

✍ Scribed by Hsiu-Chuan Lee; Cheng-Yi Chien; Yen-Sheng Huang

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 292 KB
Volume: 27
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20284

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to 5 minutes. This change presents an opportunity to analyze how a stock closing method affects the behavior of index futures prices. Empirical results indicate that an increase in the length of the batching period affects the return volatility and trading volume of index futures contracts around stock market close. Furthermore, preclose stock returns have a great impact on extended futures returns when the batching period of the stock closing call is long. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1003–1019, 2007

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