PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2019 | nr 1 | 45--82
Tytuł artykułu

Expiration Day Effects of Stock and Index Futures on the Warsaw Stock Exchange

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper examines the impact of stock and index futures expirations on the spot market on the Warsaw Stock Exchange. Three of the most commonly-observed effects are analysed, namely increased trading volume of the underlying asset, abnormally high volatility of returns on the expiration day and a price reversal after the expiration. The study confirms that index futures expirations induce increased trading activity of investors, reflected in abnormally high turnover and relative turnover values of stocks from the index. In the case of single stocks, however, all three effects are observed. The reversal of stock prices takes place just after futures expiration and is reflected in the opening prices on the next trading session. Additional analysis performed in sub-periods reveals a significant impact of changes in the short selling rules introduced in May 2015 on expiration day effects. (original abstract)
Czasopismo
Rocznik
Numer
Strony
45--82
Opis fizyczny
Twórcy
  • AGH University of Science and Technology Kraków, Poland
  • AGH University of Science and Technology Kraków, Poland
Bibliografia
  • Agarwalla S.K., Pandey A. (2013), Expiration-day effects and the impact of short trading breaks on intraday volatility: evidence from the Indian market, Journal of Futures Markets, 33(11), 1046 -1070.
  • Alkebäck P., Hagelin N. (2004), Expiration day effects of index futures and options: evidence from a market with a long settlement period, Applied Financial Economics, 14(6), 385-396.
  • Bollen N.P.B., Whaley R.E. (1999), Do expiration of Hang Seng Index derivatives affect stock market volatility?, Pacific-Basin Finance Journal, 7, 453-470.
  • Chamberlain T.W., Cheung S.C., Kwan C.C.Y. (1989), Expiration-day effects of index futures and options: some Canadian evidence, Financial Analysts Journal, 45(5), 67-71.
  • Chay J.B., Kim S., Ryu H. (2013), Can the indicative price system mitigate expiration-day effects?, Journal of Futures Markets, 33(10), 891-910.
  • Chow E.H., Hung C., Liu C.S., Shiu C. (2013), Expiration day effects and market manipulation: evidence from Taiwan, Review of Quantitative Finance and Accounting, 41, 441-462.
  • Chung H., Hseu M. (2008), Expiration day effects of Taiwan index futures: the case of the Singapore and Taiwan futures exchanges, International Financial Markets, Institutions and Money, 18, 107-120.
  • Day T.E., Lewis C.M. (1988), The behaviour of the volatility implicit in the prices of stock index options, Journal of Financial Economics, 22, 103-122.
  • Debasish S.S. (2010), Investigating expiration day effects in Stock Index Futures in India, Journal of Economics and Behavioral Studies, 1(1), 9-19.
  • Diz F., Finucane T.J. (1998), Index option expirations and market volatility, Journal of Financial Engineering, 7(1), 1-23.
  • Fung J.K.W., Jung H.H.M. (2009),Expiration-day effects - an Asian twist, Journal of Futures Markets, 29, 430-450.
  • Hsieh W.G. (2009), Expiration-day effects on individual stocks and the overall market: evidence from Taiwan, Journal of Futures Markets, 29(10), 920-945.
  • Hsieh W.G., Ma T. (2009), Expiration-day effects: Does settlement price matter?, International Review of Economics and Finance, 18, 290-300.
  • Illueca M., Lafuente J.Á. (2006), New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish stock exchange, Journal of Futures Markets, 26, 923-938.
  • Karolyi G.A. (1996), Stock market volatility around expiration days in Japan, Journal of Derivatives, 4(2), 23-43.
  • Kolari J., Pynnönen S. (2011), Nonparametric rank tests for event studies, Journal of Empirical Finance, 18, 953-971.
  • Lien D., Yang L. (2005), Availability and settlement of individual stock futures and options expiration- -day effects: evidence from high-frequency data, The Quarterly Review of Economics and Finance, 45, 7 3 0 -747.
  • Mahalwala R. (2016), A study of expiration-day effects of Index Derivatives Trading in India, Metamorphosis - A Journal of Management Research, 15(1), 10-19.
  • Mann H.B., Whitney D.R. (1947), On a test of whether one of two random variables is stochastically larger than the other, The Annals of Mathematical Statistics, 18(1), 50-60.
  • Morawska H. (2004), Wpływ efektu trzech wiedźm na okresowe kształtowanie się cen instrumentu bazowego, Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia, 2(2), 403-416.
  • Morawska H. (2007), Wpływ dnia wygaśnięcia indeksowych kontraktów terminowych i opcji na rynek kasowy GPW w Warszawie SA, in: K. Gabryelczyk, U. Ziarko-Siwek (eds), Inwestycje finansowe, CeDeWu.
  • Narang S., Vij M. (2013),Long-term effects of expiration of derivatives on Indian spot volatility, ISRN Economics, 2013, 1-6.
  • Parkinson M. (1980), The extreme value method for estimating the variance of the rate of return, The Journal of Business, 53, 61-65.
  • Schlag C. (1996), Expiration day effects of stock index derivatives in Germany, European Financial Management, 2(1), 69-95.
  • Stoll H.R., Whaley R.E. (1986), Expiration day effects of index options and futures, Monograph Series in Finance and Economics, 1986 -3.
  • Stoll H.R., Whaley R.E. (1987), Program trading and expiration-day effects, Financial Analysts Journal, 43(2), 16-28.
  • Stoll H.R., Whaley R.E. (1991), Expiration-day effects: What has changed?, Financial Analysts Journal, 47(1), 58-72.
  • Stoll H.R., Whaley R.E. (1997), Expiration-day effects of the all ordinaries share price index futures: empirical evidence and alternative settlement procedures, Australian Journal of Management, 22(22), 139-174.
  • Suliga M. (2017), Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange, Managerial Economics, 18(2), 201-225.
  • Tripathy N. (2010), Expiration and week effect: empirical evidence from the Indian derivative market, International Review of Business Research Papers, 6(4), 209-219.
  • Vipul V. (2005), Futures and options expiration-day effects: the Indian evidence, Journal of Futures Markets, 25(11), 1045-1065.
  • Xu C. (2014), Expiration-day effects of stock and Index Futures and Options in Sweden: the return of the witches, Journal of Futures Markets, 34(9), 868-882.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171548061

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.