Expiration day effects: The case of Hong Kong
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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.
- 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.
- Adrian C. H. Lei, 2015. "Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1042-1066, November.
- Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14, July-Dece.
- Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.
- Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
- Guglielmo Maria Caporale & Alex Plastun, 2023.
"Witching days and abnormal profits in the us stock market,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2182016-218, December.
- Guglielmo Maria Caporale & Alex Plastun, 2021. "Witching Days and Abnormal Profits in the US Stock Market," CESifo Working Paper Series 9360, CESifo.
- S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
- Henryk Gurgul & Milena Suliga, 2020. "Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(3), pages 869-904, September.
- Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2010, January-A.
- 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.
- 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.
- Gurmeet Singh & Muneer Shaik, 2020. "Re-examining the Expiration Effects of Index Futures: Evidence from India," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 16-23.
- 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.
More about this item
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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