Options expiration effects and the role of individual share futures contracts

Journal of Futures Markets

Volumn 23, Issue 11, 2003, Pages 1107-1118

  Lien, Donald ^a   Yang, L I ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0141430926     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10100     Document Type: Article

References (8)

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2. Corredor, P., Lechon, P., & Santamaria, R. (2001). Option-expiration effects in small markets: The Spanish Stock Exchange. Journal of Futures Markets, 21, 905-928.
3. Chow, Y.-E, Yung, H., & Zhang, H. (2003). Expiration day effects: The case of Hong Kong. Journal of Futures Markets, 23, 67-86.
4. Cready, W. M., & Ramanan, R. (1991). The power of tests employing log-transformed volume in detecting abnormal trading. Journal of Accounting and Economics, 14, 203-214.
5. Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
6. Glosten, L. R., Jagannathan, R., & Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
7. Mayhew, S. (2000). The impact of derivative on cash markets: What have we learned? Working paper, University of Georgia.
8. Stoll, H., & Whaley, R. (1997). Expiration-day effects of the All Ordinaries Share Prices Index Futures: Empirical evidence and alternative settlement procedures. Australian Journal of Management, 22, 139-174.