Expiration day effects of index futures and options: evidence from a market with a long settlement period
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References listed on IDEAS
- Anthony F. Herbst & Edwin D. Maberly, 1990. "Stock index futures, expiration day volatility, and the “special” friday opening: A note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(3), pages 323-325, June.
- Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
- Cheng, Louis T W & Fung, Joseph K W & Pang, Castor, 1998. "Early Unwinding Strategy in Index Options-Futures Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 447-467, Winter.
- Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
- Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
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- Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
- 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.
- S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
- 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, vol. 18(2), pages 107-120, April.
- repec:agh:journl:v:18:y:2017:i:2:p:201-225 is not listed on IDEAS
- Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.
- 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.
- Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Hsieh, Shu-Fan & Ma, Tai, 2009. "Expiration-day effects: Does settlement price matter?," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 290-300, March.
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