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|Other Titles: ||Expiration and maturity effect : empirical evidence for the spot and futures contracts|
|Authors: ||王吉祥;Wang, Chi-hsiang|
邱建良;Chiu, Chien-liang;陳玉瓏;Chen, Yu-lung
|Keywords: ||到期效應;GJR－GARCH模型;Expiration effect;Maturity effect;GJR－GARCH model|
|Issue Date: ||2010-01-11 00:59:56 (UTC+8)|
The paper studies how the time remaining to the expiration date of derivative markets affects the volatility of futures markets (maturity effect) and their underlying assets (expiration effect). The innovation of the study lies in both effects being studied together for the futures markets and underlying assets using the GJR－GARCH model proposed by Glosten, Jagannathan and Runkle(1993) including dummy variables that express the time left to expiration day. Three equity future index , S&P500, Nikkei 225, TAIEX futures,, and two foreign exchange futures index, Euro FX and Japanese yen, are used as our sample. The empirical analysis focuses on the last three days before expiration of the futures contracts and adopts the return calculated by daily settlement price. In addition to the nearby contact month series, we also use the data which is switched over to the next maturing contract five days before the expiration date of the nearby contact. (3 days for TAIEX futures)
The empirical results show as follows:
1. There is existence of asymmetrical effect in the conditional variance for three equity index futures and their underlying assets. But there is no asymmetrical effect for the foreign exchange futures and their underlying assets.
2. The maturity effect and expiration effect are proved to be statistically significant when applying to S&P 500, Nikkei 225, and TAIEX furtures and their underlying assets in our sample. It must be pointed out that the conditional variance increases before expiration date both in futures and cash markets for the S&P500 and Nikkei 225 futures.
3. Regarding the foreign exchange contracts, there is no maturity effect and expiration effect for the nearby contact series. It’s the same result for the Euro FX contracts in the data switched over to the next maturing contract five days before the expiration date of the nearby contact. However, there is maturity effect effect for the Japanese yen futures in the last day before maturity.
4. Comparing the difference of maturity effect and expiration effect between equity index products and foreign exchange products, we conclude that the clearing mechanism such as settlement margin requirement and physical delivery for the FX contracts is the important factor that influences the trading behavior of market participants.
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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