Advanced Search
MyIDEAS: Login

Expiration-Day Effects - An Asian Twist

Contents:

Author Info

  • Joseph K.W. Fung

    (Hong Kong Baptist University)

  • Haynes H.M. Yung

    (Open University of Hong Kong)

Registered author(s):

    Abstract

    This is an examination of the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index options use an Asian-style settlement procedure. All contracts are settled against the estimated average settlement (EAS) price, which is the arithmetic average of the underlying cash index taken every five minutes on the expiration day. Trading volume and total trade count on the expiration day are found to both be higher than normal. Most important, trading intensifies in terms of both volume and frequency at times close to the five-minute time marks. Significant order imbalance and price reversal patterns are not found. That there is no systematic order imbalance pattern explains the absence of a price reversal pattern.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.hkimr.org/uploads/publication/196/ub_full_0_2_143_hkimr-no1_bw.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 012007.

    as in new window
    Length: 24 pages
    Date of creation: Jan 2007
    Date of revision:
    Handle: RePEc:hkm:wpaper:012007

    Contact details of provider:
    Postal: 55th Floor , Two International Finance Centre , 8 Finance Street , Central, Hong Kong
    Phone: (852)2878 1978
    Fax: (852)2878 7006
    Email:
    Web page: http://www.hkimr.org
    More information through EDIRC

    Related research

    Keywords: Asian-style settlement; index derivatives; expiration-day effects.;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages S7-31, January.
    2. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    3. Christian Schlag, 1996. "Expiration day effects of stock index derivatives in Germany," European Financial Management, European Financial Management Association, vol. 2(1), pages 69-95.
    4. Per Alkeback & Niclas Hagelin, 2004. "Expiration day effects of index futures and options: evidence from a market with a long settlement period," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 385-396.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hkm:wpaper:012007. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (HKIMR).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.