Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures
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DOI: 10.1177/031289629702200202
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References listed on IDEAS
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Citations
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Cited by:
- Chin-Lin Chuang & Dar-Hsin Chen & Chung-Hsien Su, 2008. "Reexamining The Expiration Day Effects Of Stock Index Derivatives: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 2(2), pages 85-105.
- Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 107-120, April.
- Milena Suliga, 2017. "Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 201-225.
- Tsung-Yu Hsieh, 2015. "Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4670-4684, September.
- Hsu, Chih-Hsiang & Lee, Hsiu-Chuan, 2014. "Insider trading and information revelation with the introduction of futures markets," Economic Modelling, Elsevier, vol. 43(C), pages 173-182.
- Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
- M. Illueca & J. A. LaFuente, 2006.
"New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(9), pages 923-938, September.
- Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
- Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 0. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 1.
- Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
- Maniar, Hiren M. & Bhatt, Rajesh & Maniyar, Dharmesh M., 2009. ""Expiration hour effect of futures and options markets on stock market" -- A case study on NSE (National Stock Exchange of India)," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 381-391, June.
- Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2017. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
- Hsieh, Shu-Fan & Ma, Tai, 2009. "Expiration-day effects: Does settlement price matter?," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 290-300, March.
- Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
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Keywords
STOCK INDEX FUTURES; INDEX ARBITRAGE; PROGRAM TRADING; EXPIRATION†DAY EFFECTS; SETTLEMENT PROCEDURES;All these keywords.
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