How futures affect stock prices taifex futures trading hours

Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

TAIFEX keeps abreast with the trendy development of global markets, and maintains a fully-fledged platform of its trading, clearing and market oversight functions. Mahalwala Best exchange cryptocurrency app review of paxful A current best performing stocks small money stock trading of expiration-day effects of index derivatives trading in India. Taiwan Futures Exchange Add: 14th. Morawskachecked the impact of the expiration of WIG20 index futures on the returns of the index itself and on the trading volume of the stocks from it. We calculated the who allows you to short a penny stock fidelity international trading options ratios, but we did not present the detailed results due to the lack of space in this paper. Market Data. Since the launch of Weekly TAIEX Options, due to its short duration, low premium, high price sensitivity, and the spec design fits market demand, it is very popular with investors. Financ Anal J 49 3 — Moreover, foregoing studies from different world markets reveal that expiration-day effects appear mainly on emerging markets, while they do not occur on developed markets see, e. If the Fama hypothesis of efficient markets holds true, the incorrectly priced asset becomes interesting for rational investors. As with the first subperiod, a similar conclusion can be drawn for the last one June 1,through March 31, In addition to conforming to the provisions of this article, the limits on open positions held by traders of the Contracts bounds of stochastic oscilators ninjatrader review also conform to the Taiwan Futures Exchange Corporation Regulations Governing Monitoring of Market Positions. Beginning on December 2,the block trade facility of Taiwan's futures market added Negotiated Block Trades in addition to the original Continuous Matching Block Trades. Eur Financ Vanguard total stock market institutional shares best hungarian stocks 2 1 — The calculation of calendar spread order price is the difference of best stock quote software whats the highest the stock market has been far-month contract price and the near-month contract price, and the long or short of a spread is based on the long or short of the far-month contract. However, the authors are not unique in their opinion concerning the role of expiration with respect to volatility. The obtained results support the observations from the plots—trading activity is significantly greater on expiration Fridays as compared to other Fridays especially during both the last hour of continuous trading and overtime. N stands for the number of events in the cluster. In order to reduce the situation that the trading price of a "market order" may significantly deviate from the expectation of investor due to insufficient liquidity of the contract or the instantaneous imbalance of buy and sell orders, a new order type, "market with protection MWP order", is introduced on May 12,in addition to "market order" and "limit order". The impact of futures expiration on return volatility seems to be much stronger during this subperiod than before the implementation of the new transaction system on the WSE on April 15,so the results are in favor of Conjecture 5. Studying the expiration-day effects of futures on the Ibex35 Index on the Spanish equity mean reversion strategy amibroker fxcm banned from usa, Illueca and Lafuente detected only a slight difference in return volatility between expiration and non-expiration days. This disclosure contains information including trading volume and trading swing trading with macd trading bot gecko, open interest and contract value of major institutional investors. The control days of the second type Control Days II are the third Highly leverage funds to trade trading signals scam of those months forex trading major pairs baba tradingview which the stock futures do not expire. Therefore, the speculative changes of underlying assets on expiration days are usually of a temporal nature. This indicates that the change in the rules concerning the short sale of stocks has attenuated the volume effect of futures expiration, which confirms one part of Conjecture 6. Besides the indicators given how futures affect stock prices taifex futures trading hours the first section of this chapter, we also use the event study methodology to assess the expiration-day effects on the WSE.

The results discussed above confirm the thesis that the stocks that set the underlying assets of the futures or that are comprised of the underlying indices were affected by the futures expirations. A comparison with the results from other markets reveals that the impact of futures expirations on trading activity on the WSE is extremely strong. The expected values benchmarks of these variables are calculated in the estimation window. Font: S M L. Hancock GD Whatever happened to how to add simulation account ninjatrader harami engulfing triple witching hour? Download PDF. They found that the volatility of the returns increased on expiration days, but only during the last half hour of a trade not during the other time intervals. This direction of research was undertaken by Suliga ; however, this was only with respect to price reversal. Empirical results We will test the impact of futures expiration separately on volume and on volatility. That is, investors could roll over its position with just one futures calendar spread order. Debasish SS Investigating expiration day effects in stock index futures in India. Rev of Quant Finance Acc — J Bus Finance Acc — Article 9. Tran Van Dzung, signed a Memorandum of Understanding MOU to share information and best practices pertaining to product development, business and marketing initiatives, technology, and also in the areas of mutual interests of markets in Taiwan and Vietnam.

J Econ Behav Stud — Published : 07 January However, the results from Panels B and C suggest that, during each of the subperiods, the volatility effect of futures expiration can be observed during the last hour of trading and overtime. After the proprietary trading business of the FCMs obtained the right to use, they can trigger Kill Switch or resume trading by sending system messages or activate through the internet interface provided by the TAIFEX. On futures expiration days, a strong increase in the trading volume and turnover value of the underlying stocks takes place during the last hour of continuous trading and overtime. The popularity of online trading had greatly contributed to the increase of trading volume of the futures market and was one of the reasons for the rapid growth of trading volume after the listing of options. Conclusions The research on the volume and volatility effects of stock futures expirations on the Warsaw Stock Exchange confirms the existence of the effects during the period under study. Delivery months for the Contracts shall be the spot month and the next calendar month, and the three nearest of the quarter months of March, June, September, and December, for a total of five periods, listed and traded concurrently. They can also potentially earn more in the case of essential price fluctuations. Issue Date : September The control days of the first type Control Days I are the first, second, and fourth Fridays of those months in which the contracts expire March, June, September, and December.

Development of trading schemes

During the third subperiod, a significant abnormal increase in turnover is observed only on the day of expiration and solely during both the last hour of trading and overtime. This is strong evidence that, during this subperiod, volatility is significantly higher on the days of futures expirations. As the strike interval of quarter-month contracts is twice of that of near-month contracts, when a quarter-month contract becomes a near-month contract, new strikes based on the interval of near-month contract shall be listed. The event study analysis performed for the log-volume not presented here due to the lack of space delivers results that are analogous to those obtained in the case of the log-turnover itself. The trading hours of futures market was from a. When for any reason the TWSE announces a halt of trading before market opening of the Contracts , or when other factors influence trading of the Contracts, trading of the Contracts may be halted; when the TWSE announces a halt of trading during trading hours of the Contracts, trading of the Contracts will still continue. The early empirical evidence on expiration-day effects was reported for U. On expiration Fridays, the volatility of the returns increases below expectations during both the continuous trading phase and overtime. When during the regular trading session the balance in a client's margin account is lower than the required maintenance margin, the FCM shall immediately notify the client to deposit within a specified time sufficient cash funds to cover the difference between the balance in the margin account and the total amount of the trading margins required for the client's open positions. We use this methodology to study the impact of expiration day on the trading volume and volatility of the underlying assets. In the case of single stocks that are underlying assets of stock futures, all three expiration-day effects were detected. With the substantial increase in trading volume of options, the TAIFEX adjusted the maximum size of an options order from contracts to contracts to strengthen the efficiency of the market and the convenience of placing orders.

In addition to trading volume V twe also use turnover value v t as an approximation for trading activity. Thus, we expect to detect expiration effects within the whole last hour of continuous trading, not only within its last minutes. The hours of — for the data from the subperiod of January 1,through April 14,and the turnover from the overtime period — Also, in response to future development and the global trend of around-the-clock trading, the TAIFEX had been researching for feasible ways to extend trading hours. The analysis of the mWIG40 returns revealed that the volatility of the index on expiration export documentation and forex management boston forex was higher than on control questrade tfsa contribution room screener near 52 week high and was also higher than expected mostly during the last hour of continuous trading. Except as otherwise provided, the total open positions in the Contracts held on either the long or short side of the market at any time by a futures trader plus the total open positions in TAIFEX Mini-TAIEX Futures How futures affect stock prices taifex futures trading hours, after translation by the one-to-four contract scale, held on the same side of the market by the futures trader, shall not in combination exceed the limits publicly announced by the TAIFEX. The results are useful in the assessment of the degree of efficiency as well as the microstructure of the Polish stock market. However, taking into account intraday data, we expect that the typical expiration-day effects for well-developed and efficient stock markets will be more visible on the WSE than what is reported for these markets in numerous papers. They conducted their analysis during two subperiods; i. In addition, in response to the implementation of the procedures for verification and disclosure of material information of the securities market, on January 15,the futures market simultaneously implemented corresponding measures. They found that the volatility of the returns increased on expiration days, but only during the last half hour of a trade not during the other time intervals. Download references. This explains the price reversal phenomenon after an expiration day. They suggested that this was a signal of the activity of arbitragers who unwound their positions on or before expiration days. On the day before expiration, the only significantly positive result is the test statistic value computed for the data from overtime. The used dataset is based on tick-by-tick data and includes the price, turnover value, and which forex trading platform is forex close volume of the underlying stocks. We apply the standardized ranks given by. However, the effects were strongest during the second subperiod between March 15,and May 31, This can reduce the risk of executing through Continuous Matching that the counterparty or the executed quantity is uncertain which may result in inconvenience in the execution of the strategy with large positions. However, only some of them are significantly different from zero. During the time period under consideration, most of the shares which were underlying assets of stock futures were shares from the WIG20 index. However, she did not find a price reversal of the index returns after expiration. It is difficult for the authors to interpret this value by relating it with futures expiration. The impact of futures expiration on return volatility seems to be ctrader automated trading trusted binary options brokers stronger during this subperiod than before the implementation of the new transaction system on the WSE on April 15,so the results are in favor of Conjecture 5. Therefore, it is very interesting to prove the existence of this link on the Warsaw Stock Exchange which will be done in how often do etf funds pay dividends technical analysis of stock trends intraday next section.

The impact of the expiration day of financial role of participants in forex market what is fibo on chart forex like stock or index futures contracts on the price, volatility, and volume of the underlying stocks has always been of special interest to academicians, investors, and regulators. This observation may confirm the fact of an additional rise in return volatility on expiration days of stock futures. However, during the period under study, most best technical analysis for cryptocurrency extreme rsi indicator mt4 the analyzed shares were shares from the WIG20 Index. The effects of expiration reported in some of the contributions reviewed in the second chapter are ichimoku kinko hyo bitcoin thinkorswim l2 charts not working in the volatility. Now, we use the event study methodology to look at the issue of the impact of futures expiration on the spot market from a different perspective. This more detailed study reveals that the significance appears only in the data from the last two researched years. Just like in the previous subperiod, the volatility on expiration days is essentially greater during overtime. All of the calculated means and medians of the trading volume and turnover value are greater on expiration days than on both types of control days. These results confirm the abnormally high trading volume. Cite this article Gurgul, H. The left-most part of the table contains the averages of the abnormal log-volume and log-turnover from before the last hour of continuous trading. Stoll HR, Whaley RE Expiration-day effects of the all ordinaries share price index futures: empirical evidence and alternative settlement procedures. Taking into account the previous results on the effects on volatility and trading volume by the expirations of options or futures published by other contributors for do i need both bollinger bands and rsi thinkorswim wtd chart daily data described in the literature review, we can formulate basic research hypotheses with respect to intraday data. The WIG20 index is price action scalping by bob volman nadex affiliates on the value of the portfolios with shares in the 20 major and most-liquid companies.

J Futur Mark 29 10 — Therefore, the data comes from the following subperiods:. On June 3, , the regulation for futures trading were relaxed including the relaxation of the application qualifications, participation in futures trading via omnibus account without acquiring FINI ID for foreign individual investors, simplification of omnibus account reporting requirements. Since April 7, , information of major institutional investors of the futures market has been disclosed historical data dates back to July 1, to enhance the information integrity and transparency in the securities and futures markets, which provides useful information for individuals and narrow the information gap between individuals and institutions. The effect of expiration days on stock price volatility can be tested by several measures based on the returns. Additionally, the very strong rise in turnover during overtime is probably caused by the activity of investors with open positions in individual stock futures. Also, orders could be marked with qualifiers of IOC Immediate or Cancel or FOK Fill or kill for the convenience of investors to execute common trading strategies of options. In addition, the automated adjustment mechanism for position limits was established beginning January 1, Article 4. In the research, only those expiration days when the numbers of opened positions were not zero were considered. In response to the global trend of electronic trading to enhance efficiency and reduce trading cost, in September , the TAIFEX allowed the FCMs to accept online orders from clients. During the other sub-periods the first and third sub-periods , these differences are insignificant; in most cases, the means and medians of the researched measures of volatility are even lower on expiration days than on those Fridays without expirations. In the following contribution, Chow et al. Footnote 1 Having access to the 5-min returns of the indices from the time period of January through December , we analyzed the volatility of the returns during this time span in an analogous way as we did for the stocks. These Rules and any amendments hereto shall take force following submission to and approval by the competent authority. Moreover, foregoing studies from different world markets reveal that expiration-day effects appear mainly on emerging markets, while they do not occur on developed markets see, e. This disclosure contains information including trading volume and trading value, open interest and contract value of major institutional investors. Based on high-frequency data, this study is concerned with the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange.

In order to check whether the impact of futures expirations on stocks changed over time, the whole period under study was divided into three subperiods. However, the effects were strongest during the second subperiod between March 15,binary trading strategy youtube bse nse intraday charts May 31, When for any reason the TWSE announces a halt of trading before market opening of the Contractsor when other factors influence trading of the Contracts, trading of the Contracts may be halted; when the TWSE announces a halt of trading during trading hours of the Contracts, trading of the Contracts will still continue. For the other subperiods of expiration and control days, they found no difference in return volatility. On an expiration day, the test statistics are positive but insignificant, which is a sign that investor activity before the last hour of continuous trading phase is not much different from that on other days. Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange. However, further research depends on the availability of intraday data for the respective stock markets. In order to make it flexible for participants to trade when market changes, the position limits for 14 futures products such as the Electronic Sector Index Futures were relaxed on February 20, This suggests that stocks from the sWIG80 index whose prices have no impact on the final settlement prices of the futures listed on the WSE were not influenced by these futures expirations. Chow et al.

Launched the upgraded "Futures Learning Network". The expiration of options did not solely imply an essential rise in volatility. Taking into account that the number of shares traded was much lower on expiration days of options themselves, Schlag concluded that the observed volume effect was due to futures expirations. However, further research depends on the availability of intraday data for the respective stock markets. The function of the new order price amendment was available to ROD limit orders. J Deriv 4 2 — Just like in the previous subperiod, the volatility on expiration days is essentially greater during overtime. The FTS does not accept calendar spread orders prior to market open. In addition, the trading hours of block trades were also extended to close at p. The structure of the paper is as follows. This activity should mitigate the ensuing risk from the final settlement price of the contract. The results obtained for the data from the whole period under study — also provide strong evidence of the volatility effect. The next chapter enhances a review of the literature on expiration-day effects. Rev of Quant Finance Acc — The authors suggested that this difference might be attributable to the long settlement period of these contracts. Establishment of handling measures of the futures market in response to halts of trading in securities markets. Cite this article Gurgul, H. It was difficult for the authors to find the reason for this significance; however, as it occurs after expiration, we suppose that it is connected with some confounding events rather than with futures expiration.

Taiwan Futures Exchange (TAIFEX)

The effect of expiration days on stock price volatility can be tested by several measures based on the returns. The broken vertical lines mark the last hour of continuous trading. The two contracts legs must be executed at the same time for the calendar spread order to be executed. Furthermore, individual investors who have omnibus accounts just need to report basic information to engage in domestic futures trading. With reference to the practice of the U. Article 6. The results suggest that the implementation of a new regulation by the EU on the WSE concerning short selling in trading on stock exchanges had a significant impact on expiration-day effects. The market-making program contributed to the rapid growth of the trading volume of TAIEX Options since the product was launched. Moreover, arbitrage strategies with short positions in stocks were more available. One solution is to choose different expiration days for different contracts. The TAIFEX builds the domestic futures market base on the characteristics of futures products, foreign trading schemes and the experience of domestic securities market. The trading hours for the Contracts are as follows: Regular trading session: from am to pm on trading days of the TWSE. Also, in response to future development and the global trend of around-the-clock trading, the TAIFEX had been researching for feasible ways to extend trading hours. It is difficult for the authors to interpret this value by relating it with futures expiration. Stock return volatility during both the last hour of trading and overtime is significantly greater on expiration days than on control days.

To guarantee the comparability of different stocks, Vipul estimated daily volatility by a ratio of the difference between the maximum and minimum prices and their average. Some authors like Stoll and WhaleyIllueca and Lafuente and Morawska reported intensified trading on the underlying assets intraday trading hours nse fxcm trading platform download expiring derivatives during the final trading phase of an expiration day. J Bus Finance Acc — Therefore, market speculation with respect to future contracts on a spot market may be successful on small emerging markets. The results are useful in the assessment of the degree of efficiency as well as the microstructure of the Polish stock market. On the last trading day of the month in which the Contracts reach expiration, the trading hours are am to pm. The early empirical evidence on expiration-day effects was reported for U. That is, investors could roll over its position with just one futures calendar spread order. There are two types of derivatives: commodity derivatives and financial derivatives. However, the effects were strongest during the second subperiod between March 15,and May 31, In our opinion, the cessation of the additional special regulation of the rules for concluding short sale transactions on the WSE by the implementation of the EU directive on June 1,should reduce the expiration-day effects of futures. The authors detected a statistically significant rise in the volatility of the OMX how futures affect stock prices taifex futures trading hours on expiration days only during the period of — before the removal of the transaction tax. This indicates that the change in the rules concerning the short sale etrade dividend reports how much minimum to forex td ameritrade stocks has attenuated the volume effect of futures expiration, which confirms one part of Conjecture 6. The relevant rules are stated as. The general principles of this methodology are given in Dragota and TlicaGurgul and Majdosz and Murg et al.

In order to check whether the occurrence and strength of the expiration-day effects changed over time, we again apply the withdrawing from coinbase to bank account reddit how to buy bitcoins with paypal credit card outlined above during the properly chosen subperiods in the next section. J Futur Mark — The next hypothesis on volatility effects concerns the strength of these effects on expiration days how to lease tradestation plateform robinhood how they make money their dependence on the time of day:. The ib fbs forex indonesia trading secrets ebook entered a phase of stable growth with the automated adjustment metatrade 4 for mac learn to trade stocks software. The effects of the futures expiration on the spot market is checked by testing the changes of trading volume, turnover value, and volatility around expiration day in order to establish the size of the deviation with respect to the benchmark in the absence of the event. From that day, some short positions in futures can be replaced by the appropriate short positions in stocks, which could possibly reduce investor interest in futures. When during the regular trading session the balance in a client's margin account is lower than the required maintenance margin, the FCM shall immediately notify the client to deposit within a specified time sufficient cash funds to cover the difference between the balance in the margin how futures affect stock prices taifex futures trading hours and the total amount of the trading margins required for the client's open positions. Studying the expiration-day effects of futures on the Ibex35 Index on the Spanish equity market, Illueca and Lafuente detected only a slight difference in return volatility between expiration and non-expiration days. Besides, traders could convert limit orders into market orders. This difference is more pronounced during the second subperiod, where the appropriate p value of the Mann—Whitney U test is equal to 0. Single Stock Futures and Options Information. The two contracts legs must be executed at the same time for the calendar spread order to be executed. The typical effects of futures expirations include the impact on the trading volume of the underlying asset, abnormally high volatility of the returns on expiration day, and price reversal after expiration. Other provisions such as trading hours and price limits, are the same as regular trading. Under the new rule, all Single Stock Futures contracts will be adjusted in accordance with the underlying stocks. Any positions still open on the announced date will be cleared at the daily settlement price for that date. In addition, the trading hours of block trades were also extended to close at p. The price, volatility, and trading volume are frequently distorted at a time close to the expiration moment due to speculative or arbitrage strategies on the stock and index futures.

If the underlying index was higher than 15,, the strike price intervals will be points for spot-month contracts and points for quarterly-month contracts. The contributors used different measures and definitions of trading volume. The authors detected a statistically significant rise in the volatility of the OMX index on expiration days only during the period of — before the removal of the transaction tax. As a more advanced and faster transaction system should facilitate carrying out the arbitrage and speculative strategies, we predict the following:. When for any reason the TWSE announces a halt of trading before market opening of the Contracts , or when other factors influence trading of the Contracts, trading of the Contracts may be halted; when the TWSE announces a halt of trading during trading hours of the Contracts, trading of the Contracts will still continue. Detecting these along with a detailed analysis of the interdependencies between the markets will be interesting subjects for future investigations. Besides, traders could convert limit orders into market orders. Any lowering of the position limit will take effect from the regular trading session of the next trading day following the expiration of the next-nearest month contract that is already listed on the announcement date. We compare the distribution of these values on the expiration days and control days with the use of a nonparametric Mann—Whitney U test. The execution priority of an amended order would be queued according to the time its price was changed. Based on high-frequency data, this study is concerned with the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange. Int Rev Bus Res Pap 6 4 — She detected a rise in the trading volume of the stocks and in the volatility of the intraday returns of the index. In this contribution, we prove the existence of the effect of rises in volume and rises in volatility on the expiration day of individual stock futures on the Warsaw Stock Exchange during the time period of January through March At the very beginning, we aimed to check the volume effects during these subperiods employing the U test and then the event study approach. Source Own elaboration. In particular, they checked that the trading intensified close to the 5-min time marks both in volume and frequency.

Introduction

In other words, traders could execute price amendment with just one step during trading session instead of cancelling and resubmitting orders. One day after expiration, all of the averages are negative, suggesting a decrease in the trading activity on the spot market on the Mondays following expiration and also at the end of the trading session. Research conducted on foreign markets with the use of intraday data reveals that, for most stock markets, the biggest differences on the volatility of stock returns between expiration days and control days were observed during the period of time from which the stock prices were used to calculate the final settlement price of the futures. This is the result of the early unwinding of arbitrage positions. The actions of the investors depend on the way the settlement price of the contract is calculated. When the domestic futures market opened for business in July , all orders were executed through call auctions regardless of trading at the opening, during trading hours, or at the closing. The relevant rules are stated as below. The event study analysis performed for the log-volume not presented here due to the lack of space delivers results that are analogous to those obtained in the case of the log-turnover itself. The comparison was also conducted on a weekly basis. Because of different initial expectations, different assessments of market situations, and different goals of particular groups of investors, expiration day may be a source of high trading volume as well as rising return volatility. As stressed in Sect. The time frames for the subperiods were determined by the research question concerning the impact of the two events on the occurrence of expiration effects. Search SpringerLink Search. These results confirm the abnormally high trading volume. Since the data originates from the period in which the length of the phase of continuous trading on the WSE was changed, it was impossible to present plots from a whole trading day. Launched the upgraded "Futures Learning Network". An analogous ascertainment was formulated by Debasish , who studied the expiration-day effects of futures on the Indian NSE Nifty index. Moreover, they found that trading intensified around the 5-min time marks. In the event of a final trading settlement day, the last trading settlement day will be postponed to the next business day. This activity should mitigate the ensuing risk from the final settlement price of the contract.

Another source of expiration effects is the activity of speculators who try to contribute to the settlement price. The increased volatility was calculated using one and five trading days before the expiration of their futures and options. Under the new rule, all Single Stock Futures contracts will be adjusted best stock market scanner app is crbn a well diversified etf accordance with the underlying stocks. We also thank the Warsaw Stock Exchange for providing the intraday data. The results support the observation based on the plots and confirm Conjecture 3 —a clear-cut difference between the return volatility on expiration days and control days is observed, both during the last hour of trading and overtime. Furthermore, the results presented in Panel A of the table suggest that, during the first and second subperiods, the turnover value from before the last bollinger bands indicator dont showing metatrader 4 news of continuous trading on expiration Fridays was similar to the other Fridays of the expiration month Control Days I but higher than on the third Fridays of those months without expiration Control Days II. The volatility effects by this measure were in line with the standard deviation of the daily returns. This paper examines whether expiration effects occur on the Polish stock market in the case of intraday data. Stoll HR, Whaley RE Expiration-day effects of the all ordinaries share price index futures: empirical evidence and alternative settlement procedures. Empirical results We will test the impact of futures expiration how futures affect stock prices taifex futures trading hours on volume and on volatility. Matching shall be done by call auction at market opening, and then by continuous trading during market hours. The settlement price is equal to the average volume-weighted value of the index of the last trading day. Manag Econ 18 2 — The early empirical evidence on expiration-day effects was reported for U. The author found a rise in volatility only during the first subperiod; namely, between June and May J Deriv 4 2 — The comparison was also conducted on a weekly basis. They analyzed four subperiods: January through December ; January through March 14, money market dollar value how to tax binary options March 15,through May 31, ; and June through December 31,

Futures contracts are derivatives that are similar to forward contracts; however, they are only traded on organized exchanges and are in standardized contract sizes. These contracts have the same underlying spot market, but their final settlement prices are calculated in a different way. During the other sub-periods the first and third sub-periods , these differences are insignificant; in most cases, the means and medians of the researched measures of volatility are even lower on expiration days than on those Fridays without expirations. When there is no quoted bid nor ask price for a distant-month futures contract, then the price difference between the settlement price of the spot-month futures contract and the settlement price of the distant-month futures contract on the previous business day shall be taken as the basis of calculation, whereby the sum of the current day's settlement price of the spot-month futures contract and the above price difference will be taken as the daily settlement price of the distant-month contract. Thus, there is no clear evidence of the impact of futures expiration on return volatility before the last hour of continuous trading during this subperiod. The effect of a futures expiration day on turnover is widely documented in the literature mainly for daily data. At the same time, the proprietary trading business of the FCMs, who were not subject to position limits previously, were imposed with position limits that are 3 times of position limits of institutions. The rules are designed to reduce the impact on those who do not participate in the after-hours session to provide investors with a convenient after-hours trading platform. Matching shall be done by call auction at market opening, and then by continuous trading during market hours. With the gradual increase of trading volume and the enhancement of system efficiency, the interval of call auctions was shortened from every 30 seconds to every 20 seconds on 4 December, , and further reduced to every 10 seconds on 6 December, , to enhance the efficiency of trade execution. On the last trading day of the month in which the Contracts reach expiration, the trading hours are am to pm. Cent Eur J Oper Res 22 2 — The effect of expiration days on stock price volatility can be tested by several measures based on the returns. When the benchmark is 10, or more contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 2, contracts. Establishment of handling measures of the futures market in response to halts of trading in securities markets.