Expiration-Day Effects - An Asian Twist
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.
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- 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, 06.
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- 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.
- Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
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