Do expirations of Hang Seng Index derivatives affect stock market volatility?

Pacific Basin Finance Journal

Volumn 7, Issue 5, 1999, Pages 453-470

  Bollen, Nicolas P B ^b   Whaley, Robert E ^a  

^a DUKE UNIVERSITY   (United States)

^b NONE

Author keywords

Expiration day effects; G13; G14; G15; Hang Seng Index; Stock index derivatives

Indexed keywords

EID: 0000297935     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0927-538x(99)00022-0     Document Type: Article

References (5)

1. Karolyi A.G. Stock market volatility around expiration days in Japan. Journal of Derivatives. 4:1996;23-43. Winter.
2. Stoll H.R., Whaley R.E. Expiration day effects of index options and futures. Monograph Series in Financial Economics. Vol. 3:1986;Stern School of Business, New York University. 89 pp.
3. Stoll H.R., Whaley R.E. Program trading and expiration day effects. Financial Analysts Journal. 43:1987;16-28. (March/April).
4. Stoll H.R., Whaley R.E. Expiration-day effects: What has changed? Financial Analysts Journal. 47:1991;58-72. (January/February).
5. Stoll H.R., Whaley R.E. Expiration-day effects of the All Ordinaries Share Price index futures: Empirical evidence and alternative settlement procedures. Australian Journal of Management. 22:1997;139-174.