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Options expiration effects and the role of individual share futures contracts

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  • Donald Lien
  • Li Yang

Abstract

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  • Donald Lien & Li Yang, 2003. "Options expiration effects and the role of individual share futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1107-1118, November.
    • Handle: RePEc:wly:jfutmk:v:23:y:2003:i:11:p:1107-1118
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    Cited by:

    1. Lien, Donald & Yang, Li, 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, Elsevier, vol. 45(4-5), pages 730-747, September.
    2. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
    3. Frankie Chau & Phil Holmes & Krishna Paudyal, 2008. "The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 227-249, January.
    4. Rachna Mahalwala, 2016. "A Study of Expiration-day Effects of Index Derivatives Trading in India," Metamorphosis: A Journal of Management Research, , vol. 15(1), pages 10-19, June.
    5. Blasco, N. & Corredor, P. & Satrústegui, N., 2023. "Is there an expiration effect in the bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 647-663.
    6. Wang, Ming-Chang & Ding, Yu-Jia & Chiang, Hsin-Chieh, 2018. "Do enterprise–bank relationships improve market quality? Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 79-91.
    7. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
    8. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.

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