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The stock closing calland futures price behavior: Evidence from the Taiwan futures market

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  • Hsiu‐Chuan Lee
  • Cheng‐Yi Chien
  • Yen‐Sheng Huang

Abstract

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to 5 minutes. This change presents an opportunity to analyze how a stock closing method affects the behavior of index futures prices. Empirical results indicate that an increase in the length of the batching period affects the return volatility and trading volume of index futures contracts around stock market close. Furthermore, preclose stock returns have a great impact on extended futures returns when the batching period of the stock closing call is long. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1003–1019, 2007

Suggested Citation

  • Hsiu‐Chuan Lee & Cheng‐Yi Chien & Yen‐Sheng Huang, 2007. "The stock closing calland futures price behavior: Evidence from the Taiwan futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 1003-1019, October.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:10:p:1003-1019
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    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
    2. Hsiu‐Chuan Lee & Cheng‐Yi Chien & Tzu‐Hsiang Liao, 2009. "Determination of stock closing prices and hedging performance with stock indices futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(4), pages 827-847, December.

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