Chou, Heng Chih; Chen, Wei Ning; Chen, Dar Hsin - In: Emerging Markets Finance and Trade 42 (2006) 5, pp. 81-102
Five index derivatives with the same expiration days, settlement days, and settlement systems have been consecutively traded on the Taiwan Futures Exchange (TAIFEX) since 1998. This paper examines the expiration effects of TAIFEX index derivatives on the underlying stock market between 1998 and...
