Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data
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- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
- G. Mujtaba Mian & Christopher Adam, 2001. "Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 341-352.
- Donald Lien & Li Yang, 2003. "Options expiration effects and the role of individual share futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1107-1118, November.
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