Stock price clustering on option expiration dates

SX Ni, ND Pearson, AM Poteshman - Journal of Financial Economics, 2005 - Elsevier
This paper presents striking evidence that option trading changes the prices of underlying
stocks. In particular, we show that on expiration dates the closing prices of stocks with listed …

Expiration‐day effects of the all ordinaries share price index futures: Empirical evidence and alternative settlement procedures

HR Stoll, RE Whaley - Australian Journal of Management, 1997 - journals.sagepub.com
Stock index futures were the most successful financial innovation of the 1980s. In spite of
their widespread use internationally, they continue to be criticised for causing 'aberrations' in …

Expiration day effects: The case of Hong Kong

YF Chow, HHM Yung, H Zhang - Journal of Futures Markets …, 2003 - Wiley Online Library
Regulators around the world often express concerns about the high volatility of stock
markets due to index derivative expirations. Earlier studies of expiration day effects have …

Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets

A Ito - Pacific-Basin Finance Journal, 1999 - Elsevier
This study evaluates the profitability of technical trading rules in Pacific-Basin equity markets
by using equilibrium asset pricing models with time-varying expected returns. Specifically …

Expiration day effects of index futures and options: Evidence from a market with a long settlement period

P Alkebäck, N Hagelin - Applied Financial Economics, 2004 - Taylor & Francis
This study examines index futures and options expiration day effects on the Swedish market.
While the results for the period 1988–1998 indicate that trading volumes on the cash market …

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

NPB Bollen, RE Whaley - Pacific-Basin Finance Journal, 1999 - Elsevier
High volatility in the stock market is often attributed to index derivative expirations. Such has
been the case in the US, Japan, Australia, and, most recently, Hong Kong. Investigations of …

Option‐expiration effects in small markets: The Spanish stock exchange

P Corredor, P Lechon… - Journal of Futures Markets …, 2001 - Wiley Online Library
This study analyzes the effect of the expiration of the Ibex‐35 Index derivatives, as well as
the first four stock options traded in the Spanish Equity Derivatives Exchange, on the return …

[HTML][HTML] Is there an expiration effect in the bitcoin market?

N Blasco, P Corredor, N Satrústegui - International Review of Economics & …, 2023 - Elsevier
This paper studies the monthly expiration effect in the bitcoin markets. The emergence of
trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an …

Expiration‐day effects and the impact of short trading breaks on intraday volatility: Evidence from the Indian market

SK Agarwalla, A Pandey - Journal of Futures Markets, 2013 - Wiley Online Library
One distinct feature of the Indian stock market is the large trading volume of single stock
futures, which are cash settled on the basis of the volume‐weighted average spot prices of …

[HTML][HTML] Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

H Gurgul, M Suliga - Central European Journal of Operations Research, 2020 - Springer
Based on high-frequency data, this study is concerned with the effects of stock futures
expirations on the spot market on the Warsaw Stock Exchange. The typical effects of futures …