This study aims to examine whether there is a maturity eﬀect in the leveraged and reverse ETFs on the maturity date of the underlying index futures or on the trading day before and after the maturity date and to investigate whether the maturity eﬀect of diﬀerent types of ETF commodities is more prominent issue. The sample is leverage and inverse ETFs tracking the Taiwan Stock Exchange Capitalization Weighted Stock Index from October 31, 2014 to January 15, 2018. Empirical model used bivariate GARCH model to captures the variations of maturity eﬀects. The study shows that all ETFs present signiﬁcant maturity eﬀects before expiration. In particular, the volatility and trading volume present abnormal phenomenon.
International Journal of Information and Management Sciences, Vol. 30(5), P. 203-219