Expiration-Day Effects - An Asian Twist
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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.
- 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.
- 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.
- 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, 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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More about this item
KeywordsAsian-style settlement; index derivatives; expiration-day effects.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-18 (All new papers)
- NEP-MST-2007-08-18 (Market Microstructure)
- NEP-SEA-2007-08-18 (South East Asia)
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