Expiration-day effects, settlement mechanism, and market structure: an empirical examination of Taiwan futures exchange

Transcription

1 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 Cha-Cheng Chen (Tawan), Su-Wen Kuo (Tawan), Chn-Sheng Huang (Tawan) Expraon-day effecs, selemen mechansm, and marke srucure: an emprcal examnaon of Tawan fuures exchange Absrac Ths sudy consrucs a seres of nne me wndows around expraon-day o dynamcally examne he marke mpac of dervaves selemens. Furher, mulple-regresson analyss s se ou o nvesgae he poenal facors accounng for he marke anomales of expraon-day effecs. The emprcal evdence ndcaes ha prce effec, volaly effec, and radng volume effec sgnfcanly occur n he hree consecuve wndows mmedaely afer he selemen of dervaves. Moreover, he resuls seem more favorable on marke condons han marke srucure n explanng he expraon-day effecs. Keywords: expraon-day, prce effec, volaly effec, radng volume effec. JEL Classfcaon: F10, G18. Inroducon Dervaves have been he mos successful fnancal nnovaon snce he 1980s and hey have largely changed he landscape of modern fnancal markes. The mpacs of dervaves on her underlyng spo markes, among hem, he expraon-day effecs, have been of grea concern o boh marke parcpans and regulaors. The expraon-day effec refers o he unusual movemens of spo marke prces, volaly, and volume around he selemen of dervaves. The famous rple wchng hour s a bona fde example o descrbe he abnormal sock prce movemens frequenly accompanyng he fnal hour of radng on days when ndex fuures, ndex opons, and ndvdual sock opons expre smulaneously. Que a lo of possble raonales may be arbued o he phenomenon of expraon-day effecs, ncludng behavors of marke parcpans on arbrage, hedge, and speculaon, new nformaon arrval, marke manpulaon, and regulaory polcy. A varey of fnancal research has examned he exsence of expraon-day effecs and ends wh mxed resuls. Anoher focus of expraon effecs ceners on he effcacy of changes of selemen mechansms on he mgaon of abnormal marke movemens around expraons. Smlar o he ssue of exsence, no general agreemen has been reached on he bes selemen mechansm. However, researchers do concur on he possbly of ndvdual marke mcrosrucures on he effcacy of polcy measures, aken on he expraon effecs. Surprsngly, few fnancal research papers have been devoed o nvesgae he possble facors relevan o he severy of expraon effecs. The meanngful resuls on he causes of expraon effecs are ndeed mporan o boh marke parcpans and polcy makers. Cha-Cheng Chen, Su-Wen Kuo, Chn-Sheng Huang, Ths sudy conrbues o he leraure by delberaely examnng he expraon-day effecs by a wosage process. Frs, a dynamc seres of me wndows around he selemen of dervaves are employed o keep rack of abnormal marke movemens. The deeced expraon anomales are ulzed for furher mulple-regresson analyss o asceran he poenal facors affecng he expraon effecs. The emprcal resuls of hs sudy, n general, agree wh Soll and Whaley (1987; 1989; and 1997) ha selemen mechansm alone only shf he mng of expraon effecs bu provde no evdence n mgaon of he marke dsoron. Moreover, he emprcal evdence also ndcaes marke condons around expraon mgh have more unfavorable mpac on he marke anomales han he underlyng marke mcrosrucure. 1. Leraure survey Snce he frs launches of sock ndex fuures and opons, respecvely n 1982 and 1983, n he U.S. markes, he mpac of dervave markes on her underlyng spo markes have been of enormous concern o boh academcs and praconers. Soll and Whaley (1987), among he early researchers, examned expraon-day effecs of he US markes for he perod from July 1, 1983 hrough December 27, Soll and Whaley (1987) concluded ha sgnfcan effecs of prce, volaly, and radng volume occur around dervaves selemen. Soll and Whaley (1991) and Hancock (1993) examned wheher he changes of selemen mes of dervaves can mgae concern over he rple wchng hour. The evdence from hese sudes suggess ha expraon-day effecs are small and regulaors mgh have overreaced o unfavorable repors on expraon effecs. On he same lne of reasonng, Soll and Whaley (1997) examned he Sydney fuures exchange and dscussed alernave fuures selemen procedures. Soll and Whaley (1997) pon ou ha excep for abnormally hgh radng volume, lle evdence has been dscovered for aberran prce

2 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 movemens. Meanwhle, Soll and Whaley (1997) also ndcae ha cash selemens a he close, nsead of selng n a specal call aucon marke ha occurs ffeen mnues afer he sock marke close, for he all ordnares share prce ndex, appears o have worked well hrough ou he sample perod. However, oher researchers also documen convncng evdence ha selemen mechansms can accoun for expraon-day dsorons. Alkeback and Hageln (2004) examned expraon-day effecs of he Swedsh OMX ndex durng he perod of Alkeback and Hageln (2004) found ha radng volumes on he spo marke were sgnfcanly hgher on expraon days han on non-expraon days. However, no evdence suggess ha prce dsorons occur around expraon days. Alkeback and Hageln (2004) arbue hs mld prce effec on OMX dervaves o he selemen prce whch s compued as he average volume-weghed value of he las radng day. The selemen perod of he OMX s subsanally longer han he pracce n oher markes, and should accoun for he bengn prce effec of he OMX. Bansal (2005), Chou e al. (2006), and Hseh and Ma (2008) documened more nernaonal evdence of expraon-day effecs and manan ha marke mcrosrucure can explan a wde varey of mxed resuls among dfferen markes. Even he possble causes of he expraon-day aberraon have been dscussed n a vas number of research papers; however, here s so far a lack of eher formal heorec reamens or dealed emprcal nvesgaons. Ths sudy ses ou o emprcally examne he poenal marke and nsuonal facors whch mgh accoun for he abnormal marke movemens of expraon-days. The emprcal resuls wll conrbue more undersandng on he marke behavors of dervaves selemens and wll be useful for boh marke parcpans and polcy makers. 2. Mehodology and daa Ths sudy adops he comparson-perod approach of Masuls (1980) by defnng he expraon-day of dervaves vs. non-expraon-day wh sx days before and afer he expraon of he Tawan fuures exchange (TAIFEX). The dfference beween expraon-day and he mean of non-expraon forms he bass of expraon-day effecs. Meanwhle, he TAIFEX employs openng prce nformaon n varous selemen mehods durng dfferen selemen mechansms. Ths sudy ulzes hgh frequency nra-day daa o capure he nformaon revealed n he openng radng secon as ndcaed n Adma and Pflederer (1998) Research desgn and daa. Tawan ndces dervaves sele (he hrd Thursday) one day afer he las radng daa (he hrd Wednesday). To dynamcally keep rack of expraon-day effecs around selemen, hs sudy draws nne overlappng me wndows of selemen pon whch exend 15 mnues, 30 mnues, 60 mnues, and he whole day before and afer he selemen, respecvely. The dealed nne me wndows are referred n Fgure 1. Day T The las radng 1 day 2 6 Day T 1 The fnal selemen day openng closng selemen closng Noe: The selemen pon was a he hrd Thursday, openng before November, 2001 and a he hrd Thursday, openng 15 mnues hereafer of TAIFEX. Fg. 1. The nne me wndows around he selemen of dervaves n TAIFEX 81

3 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 Ths sudy ams o explore he poenal deermnans of expraon-day effecs around he selemen of ndces dervaves of he TAIFEX. As ndcaed n prevous leraure, he selemen mehod may accoun for he abnormal phenomena surroundng dervaves selemens. Accordngly, hs sudy nvesgaes he avalable sample ncludng he whole sample: from Sepember 1998 o, and wo sub-perods: from Sepember 1998 o Ocober 2001; and from November 2001 o for wo dsnc selemen mehods. Snce he lmaon of he Tawan Economc Journal (TEJ) daabase, he daa under nvesgaon has dfferen frequences, namely, fve mnue nraday daa from Sepember 1, 1998 o Aprl 30, 1999, and one mnue nraday daa from May 3, 1999 o December 31, The daa were provded by he Tawan sock exchange, Tawan fuures exchange, and Tawan Economc Journal Measures of expraon-day effecs. Ths sudy employs hree measures of expraon-day effecs, namely prce effec, volaly effec, and volume effec. The dealed formulaon of he expraon-day effec s llusraed as follows Prce effec. Two prce effecs are ulzed n hs sudy. The frs prce effec s he abnormal reurn of expraon-day whch s defned as he dfference beween he expraon-day reurn and he mean reurn of non-expraon days and represens he abnormal reurn on expraon-days. The prce reversal of Soll and Whaley (1987) serves as he second measure of he prce effec on expraon days. Namely, REV R R afer,, afer,, f f R R before, before, 0 0, where, REV s he prce reversal of he expraonday, R before, and R afer, are he reurns before and afer he selemen whn me wndows Volaly effec. The sudy adops he nraday volaly of Kan (2001) as follows: P Vol ln, 1 P, where Vol s he volaly of me wndows, represens he ndces prce a me pon. The abnormal volaly around he expraon-day s defned as he dfference of volaly beween he expraon-day and he mean volaly of non-expraon-days Tradng volume effec. To dsplay he radng acvy around expraon, hs sudy adops Soll and Whaley (1991) by akng he rao of radng volume on he selemen perod o he radng volume of he whole expraon day as he measuremen of he ransacon effec. Meanwhle, he abnormal radng volume effec s defned as he dfference of he radng acvy beween he expraon-day and he mean of non-expraon-days Deermnans of expraon-day effecs. Ths sudy emprcally examnes he poenal facors on he phenomena of expraon-day effecs. Two caegores of varables, marke condons and marke srucure, are presumably specfed o accoun for he anomales around expraon. Marke condonal varables nclude bass, rend lne (5-day movng average of spo ndces), open neress, and he reurn of he Dow Jones ndusry average ndex (DJIA). Marke srucure varables conss of selemen mehods (dummy varable), acves of nsuonal nvesors n spo marke, and nsuonal parcpaon of fuures markes. The dealed mulple regresson s specfed as follows: AE 1Mon 2D 3BASIS 4TREND 5RF 6OI 7ROI DEALER TRUST FOREIGN PARTICIPAT, DJIAI 8 P where, AE s abnormal expraon-day effecs, represenng he prce effec, volaly effec, and ransacon effec, respecvely; Mon s he monh of expraon-day; D s he dummy varable of selemen mehods, D = 1 when he TAIFEX adoped Thursday openng as he selemen prce, and D = 0 when he TAIFEX adoped he average of openng 15 mnues of ndces prces as he selemen prce; BASIS s he bass of he hrd Tuesday; TREND s he fve-day movng average of spo ndces up o he hrd Tuesday; RF s he reurn of ndex fuures on he hrd Tuesday; OI s he open neress of he hrd Tuesday; ROI s he rao of he open neress on Tuesday o he average of fve-day open neres up o he hrd Tuesday; DJIAI s he reurn of DJIAI on he hrd Tuesday; DEALER s he abnormal radng volume of domesc dealers on he spo marke (TAIFEX) defned 82

4 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 by he dfference beween radng volume of domesc dealers on expraon-day and he mean of non-expraon-days; TRUST s he abnormal radng volume of nvesmen russ on he spo marke (TAIFEX) defned by he dfference beween radng volume of nvesmen russ on expraon-day and he mean of non-expraon-days; FOREIGN s he abnormal radng volume of foregn nsuonal raders on he spo marke (TAIFEX) defned by he dfference beween radng volume of foregn nsuonal raders on expraon-day and he mean of nonexpraon-days; PARTICIPAT s he share of ransacon volume by nsuonal nvesors n TAIFEX; s he error erm. 3. Emprcal resuls and analyss The expraon-day effecs. The emprcal resuls of expraon-day effecs are repored n erms of prce effec, volaly effec, and volume effec Prce effec. Table 1 documens he basc sascs of he prce effec of he TAIFEX around expraon-days of he whole sample perod and wo subperods. The measure of abnormal reurns dynamcally keeps rack of he nne me wndows from he openng of he las radng day (T) o he closng of he selemen day (T + 1). As ndcaed n Table 1, he abnormal reurns of he expraon-day are sgnfcanly larger han non-expraon-days from wndow 6 hrough wndow 9 n erms of Mann-Whney es. The magnude of he ncrease reaches s hghes n wndow 6 (.e., he ffeen-mnue nerval afer he selemen) as n he whole sample perod and hen gradually dmnshes hrough ou he res of me wndows. The paern of abnormal reurns of expraon-days can also be found n he wo sub-perods. However, on he conrary, he reurn anomaly only occurs n he average open-15-mnues selemen regme (he second sub-perod) and canno be deeced n he openng selemen regme (he frs sub-perod). The neresng fndng s generally n agreemen wh he pon of Herbs and Maberly (1990) and Soll and Whaley (1991) who mananed ha he change of selemen mehod can only shf he marke congeson around expraon-days bu canno mgae he mpac of expraon-day. Varables T1 T2 Table 1. Basc sascs of prce effecs Sepember * ( ) * ( ) Sepember Ocober ( ) ( ) Nobember * ( ) * ( ) T3 T4 T5 T6 T7 T8 T9 RR1 RR2 RR3 RR * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) ( ) * ( ) * ( ) * ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) Noe: T1, T2,, T9 desgnae he nne me wndows around he selemen of dervaves as llusraed n Fgure 1. The fgures of T1, T2 T9 are he mean excessve reurns of expraon over he non-expraon. RR1, RP2, RP3 and RP4 desgnae he four wndows of prce reversals and respecvely cover he whole day, sx mnues, hry mnues, and ffeen mnues before and afer he selemen of dervaves. The fgures n parenheses are he p-values of he Mann-Whney es; *desgnaes 5% sgnfcance. The prce reversal of Soll and Whaley (1987) s shown n Table 1 by four prce reversal wndows. The emprcal evdence ndcaes ha only he ffeen mnue and hry mnue reversal zones exhb a sgnfcan abnormal prce reversal effec of expraon-days n he whole sample perod. However, he prce reversal anomaly oally dsappears n he wo sub-perods. In shor, he emprcal evdence of he prce effec on expraon-days demonsraes a srong abnormal reurn and a mnor prce reversal effec around he expraon of he TAIFEX. In addon, he average prce selemen regme seems o ndcae a sronger prce effec han he openng prce selemen regme Volaly effec. The basc sascs of he volaly effec on expraon-days of he TAIFEX are repored n Table 2. The fgures generally show srong volaly effec of he seleced nne me wndows around expraon-days n he whole sample and second sub-perod. As expeced, he effec s sronger n pos selemen wndows han he me wndows before selemen. However, smlar o he prce effec, he abnormal volaly of expraon-days, even wh posve magnude, s sll no shown n sgnfcance n he openng prce selemen regme. The emprcal evdence of he volaly effec suppors he fac ha he average prcng selemen mechansm s no necessarly mgang he excessve volaly around expraon of he TAIFEX. 83

5 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 Table 2. Basc sascs of he volaly effec Varables T1 T2 T3 T4 T5 T6 T7 T8 T9 Sepember ( ) * ( ) * ( ) * ( ) * ( ) * ( ) ( ) ( ) ( ) Sepember Ocober ( ) ( ) ( ) ( ) * ( ) ( ) ( ) ( ) ( ) November ( ) * ( ) * ( ) * ( ) * ( ) * ( ) * ( ) ( ) ( ) Noes: T1, T2,, T9 desgnae he nne me wndows around he selemen of dervaves as llusraed n Fgure 1. The fgures of T1, T2 T9 are he mean excessve volales of expraon over he non-expraon. The fgures n parenheses are he p-values of he Mann-Whney es; * desgnaes 5% sgnfcance Tradng volume effec. The basc sascs of excessve radng volume around expraon-days of he TAIFEX are llusraed n Table 3. The abnormal radng volume s shown sgnfcanly for he me wndows afer he selemen for boh he whole sample perod and he second sub-perod. In parcular, he sronges excessve radng volume apparenly appears n he me wndows of ffeen-mnues mmedaely afer he selemen n all hree sample perods and accouns for , , and , respecvely. The radng abnormal phenomenon demonsraes a smlar paern among dfferen selemen mechansms as hose of he prce effec and volaly effec. The basc sascs of expraon-day effecs conssenly confrm he exsence of marke anomales of he TAIFEX around he selemens of dervaves. Moreover, he evdence also delneaes he fac ha selemen mechansms may no play he deermnan role n formng expraon-effecs and hs conforms wh he vew of Soll and Whaley (1997). Table 3. Basc sascs of he ransacon effec Varables T1 Sepember ( ) Sepember Ocober ( ) Nobember ( ) T2 T3 T4 T5 T6 T7 T8 T ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Table 4. Regresson analyss of prce effecs ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) * ( ) ( ) ( ) ( ) ( ) Noes: T1, T2,, T9 desgnae he nne me wndows around he selemen of dervaves as llusraed n Fgure 1. The fgures of T1, T2 T9 are he mean excessve radng volumes of expraon over he non-expraon. The fgures n parenheses are he p-values of Mann-Whney es; * desgnaes 5% sgnfcance Facors of expraon-day effecs: regresson analyss. Ths sudy furher nvesgaes he poenal facors ha mgh explan he abnormal expraon-day effecs of he TAIFEX. Accordng o he emprcal resuls above, he hree wndows of sx, seven, and egh ha rgh afer he selemen of dervaves for ffeen, hry, and sxy mnues exhb srong expraon-day effecs. Ths sudy specfes emprcal models o accoun for he expraonday effecs on he hree wndows n erms of mulple regresson analyss. The explanaory varables conss of hree caegores, namely, marke condon varables, marke srucure varables, and her neracon erms Facors of expraon-day prce effecs. Table 4 repors he resuls of regresson analyss of he prce effecs for abnormal reurns and prce reversals. The four models exhb smlar sgnfcan facors and almos he same sgns of esmaed coeffcens. The selemen dummy varable D exers a negave effec on expraon-day prce effecs. The mmedae mplcaon of he resul ndcaes ha he prce effec has been lessened durng he openng prce selemen regme comparng o he average openng 15-mnue prce selemen regme. The marke condon varable of he DJIAI ndcaes ha sronger nernaonal equy markes brng forh hgher prce effecs on dervaves selemen of TAIFEX. Consan Mon D Varables T6 T7 T8 RR a ( ) ( ) ( )* ( ) ( ) ( )* ( ) ( ) ( )* ( ) ( ) ( )* 84

6 BASIS OI RF TREND ROI DJIAI FOREIGN TRUST DEALER PARTICIPAT FOREIGN Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 Table 4 (con.). Regresson analyss of prce effecs Varables T6 T7 T8 RR PARTICIPAT FOREIGN PARTICIPAT ( ) ( ) ( ) ( ) ( ) ( )* ( )* ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( )* ( )* ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( )* ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( )* Adjused R Noes: T6, T7, and T8 desgnae he me wndows of ffeen mnues, hry mnues, and sxy mnues mmedaely afer he selemen pon. RR desgnaes he reversal me wndow of hry mnues before and afer he selemen of dervaves. The explaned varable: AE represens abnormal expraon-day effecs. The explanaory varables ncludng: Mon (he monh of he expraonday), D (he dummy of selemen mehod), BASIS (he bass of fuures), RF (he reurn of ndex fuures ), TREND (he fve-day movng average of spo), OI (he open neress), ROI (he rao of open neress), DJIAI (he reurn of DJIAI), DEALER (he abnormal radng volume of domesc dealers), TRUST (he abnormal radng volume of nvesmen russ), FOREIGN (he abnormal radng volume of foregn nsuonal raders), PSRTICIPAT (he share of nsuonal nvesors n TAIFEX), and oher four neracve erms. The fgures n parenheses are -sascs correced from Whe heeroscedascy; * desgnaes 5% sgnfcance level. Among nsuonal nvesors acves, domesc dealers of DEALER can cause a sgnfcanly posve effec on he prce effecs. Marke ndces arbrages, hedgng sraeges, and even speculave rades may be he reason ha abnormal radng volume of domesc dealers connecs wh he sronger prce effecs. The share of nsuonal nvesors n he TAIFEX, PARTICIPAT, on he conrary, can mgae he abnormal prce effecs around he selemen of dervaves. As ndcaed n Soll (1988) and Soll and Whaley (1997), marke regulaors ake closer survellance on spo markes and necessary measures o mprove marke congeson when here s greaer nsuonal ransacon on dervaves markes. The Tawan sock exchange seems o ncrease greaer lqudy durng he openng secon around dervaves selemen afer more nsuonalzaon of he Tawan fuures exchange. However, he neracon erm, D PARTICIPAT, urns ou o have a sgnfcanly posve nfluence on he prce effec. The evdence ndcaes ha hgher nsuonal parcpaon n he frs selemen regme resuls n sronger prce effecs whch occur around he selemen of dervaves. The emprcal evdence of Table 5 pons ou ha he T8 wndow had he bes model fness wh he hghes adjused R Facors of volaly effec. The emprcal resuls of regresson analyss on he volaly effec around expraon are documened n Table 5. The selemen dummy varable exhbs mxed resuls on he hree me wndows, however, wh no sascal sgnfcance. The rend lne of he fve-day movng average prce, TREND, shows a negave mpac on he excessve volaly around he expraon of dervaves. In parcular, n me wndow 6, a sronger spo marke prce rend seems o dmnsh he marke volaly on he selemen of dervaves conracs. The rao of open neress, ROI, on he conrary, convncngly ndcaes posve nfluence on he marke volaly of expraon. However, he marke srucure varables, n general, show no sgnfcance on marke volaly. Moreover, he model fness of he volaly effec s lower han he prce effec n erms of smaller adjused R 2. 85

7 Invesmen Managemen and Fnancal Innovaons, Volume 8, Issue 1, 2011 Table 5. Regresson analyss of he volaly effec Consan Mon D BASIS OI RF TREND ROI DJIAI FOREIGN TRUST DEALER PARTICIPAT Varables T6 T7 T8 FOREIGN PARTICIPAT FOREIGN PARTICIPAT a ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) Adjused R Noe: All symbols are he same as hose n Table Facors of volume effec. Table 6 shows he emprcal resuls of regresson analyss of he ransacon effec on expraon-day. The selemen dummy varable, D, exhbs a posve effec on he excessve radng acvy around he selemen of dervaves. The evdence ndcaes ha he abnormal radng volume s comparavely larger n he frs selemen regme han n he second selemen regme. The rend lne, TREND, has a sgnfcanly posve mpac on he radng volume around expraons. The evdence means ha he up-rend marke generaes larger excessve radng volume on he selemen of dervaves. The rao of open neress, ROI, also accompany wh greaer abnormal radng acvy on expraon. Inuvely, he relavely hgher open neress, he more radng congeson ha would be expeced around expraon-days. The specfed marke srucure varables seem o accoun for lle on he excessve radng acvy around he expraon-days of he TAIFEX. However, he models of ransacon effecs possess he hghes fness among all expraon-day effecs. Consan Mon D BASIS OI RF TREND ROI DJIAI FOREIGN TRUST DEALER PARTICIPAT Table 6. Regresson analyss of he ransacon effec Varables T6 T7 T8 FOREIGN PARTICIPAT FOREIGN PARTICIPAT a ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( )* ( )* ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )* ( ) ( ) ( )* ( ) ( ) ( ) ( )* ( ) ( ) ( ) ( ) ( ) ( ) Adjused R Noe: All symbols are he same as hose n Table 4. Concluson Ths sudy emprcally examnes he effecs and causes of he expraon-day n he Tawan fuures exchange durng he perod of The emprcal resuls ndcae ha excessve reurn, excessve volaly, and abnormally hgh radng volume occur around he selemen of dervaves. The hree consecuve me wndows, mmedaely afer he selemen, show sgnfcan expraon-day effecs. The mulple-regresson analyss ndcaes he openng prce selemen (n he frs sub-perod) even worked beer han he average of he openng 15 mnues prces (n he second sub-perod) and s favorable wh he fndngs of Soll and Whaley (1987; 1991; and 1997). Moreover, he shor-erm marke condons varables exhb meanngful explanaory power for he expraon-day anomales. The emprcal evdence drawn from hs sudy seems o explan he phenomena of expraon-days more by marke-orenaon han by nsuonorenaon. 86

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