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Expiration day effects of stock index derivatives in Germany

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  • Christian Schlag
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    Abstract

    There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. an increase in trading activity is also observed over the 10-minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. an increase is found for the 10-minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found. Copyright Blackwell Publishers Ltd. 1996.

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    Bibliographic Info

    Article provided by European Financial Management Association in its journal European Financial Management.

    Volume (Year): 2 (1996)
    Issue (Month): 1 ()
    Pages: 69-95

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    Handle: RePEc:bla:eufman:v:2:y:1996:i:1:p:69-95

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    Cited by:
    1. Hsieh, Shu-Fan & Ma, Tai, 2009. "Expiration-day effects: Does settlement price matter?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(2), pages 290-300, March.
    2. Sumon Bhaumik & Suchismita Bose, 2007. "Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India," William Davidson Institute Working Papers Series wp863, William Davidson Institute at the University of Michigan.
    3. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    4. Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(2), pages 107-120, April.
    5. Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.

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