Hsieh, Shu-Fan; Ma, Tai - In: International Review of Economics & Finance 18 (2009) 2, pp. 290-300
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...