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The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange
13 references·0 citing·40 second hop
The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange (2006)The Expiration Effects of Stock-Index Der…Expiration day effects: The case of Hong Kong (2002)Expiration day effects: The c…Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange (2001)Option‐Expiration Effects in …Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures (1997)Expiration‐Day Effects of the…Stock Market Volatility Around Expiration Days (1996)Stock Market Volatility Aroun…Stock Market Volatility around Expiration Days in Japan (1996)Stock Market Volatility aroun…Expiration day effects of stock index derivatives in Germany (1996)Expiration day effects of sto…Triple‐witching hour, the change in expiration timing, and stock market reaction (1994)Triple‐witching hour, the cha…Whatever Happened to the Triple Witching Hour? (1993)Whatever Happened to the Trip…THE IMPACT OF OPTION EXPIRATION ON UNDERLYING STOCKS: THE UK EVIDENCE (1992)THE IMPACT OF OPTION EXPIRATI…Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew (1990)Program Trading and Individua…Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence (1989)Expiration-Day Effects of Ind…Program Trading and Expiration-Day Effects (1987)Program Trading and Expiratio…The effects of capital structure change on security prices (1980)The effects of capital struct…Options markets and stock return volatility (1989)The Price Effect of Option Introduction (1989)Stock Market Structure and Volatility (1990)Expiration day effects of index futures and options: evidence from a market with a long settlement period (2004)Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges (2006)Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market (2013)Generalized autoregressive conditional heteroskedasticity (1986)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A survey on physical delivery versus cash settlement in futures contracts (2004)Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data (2005)New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange (2006)Risk measurement when shares are subject to infrequent trading (1979)Measuring security price performance (1980)Using daily stock returns (1985)The Impact of Derivatives on Cash Markets: What Have We Learned? (2000)Introduction and expiration effects of derivative equity warrants in Hong Kong (2001)Estimating the components of the bid/ask spread (1988)Liquidity and Market Structure (1988)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Closing call auctions and liquidity (2005)Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London (2006)A transaction data study of weekly and intradaily patterns in stock returns (1986)A monthly effect in stock returns (1987)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Futures and options expiration-day effects: The Indian evidence (2005)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The Dynamics of Stock Index and Stock Index Futures Returns (1990)Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach (2015)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation effects of stock splits and stock dividends (1984)Valuation effects of corporate debt offerings (1986)Trade-Off and Pecking Order Theories of Debt (2005)The behavior of the volatility implicit in the prices of stock index options (1988)Stock price clustering on option expiration dates (2005)Measuring Closing Price Manipulation (2009)
this work references cited by second hop

References

  • 1980The effects of capital structure change on security prices529 cited
  • 1987Program Trading and Expiration-Day Effects207 cited
  • 1997Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures75 cited
  • 1989Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence69 cited
  • 2002Expiration day effects: The case of Hong Kong66 cited
  • 1990Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew61 cited
  • 1992THE IMPACT OF OPTION EXPIRATION ON UNDERLYING STOCKS: THE UK EVIDENCE51 cited
  • 1996Stock Market Volatility Around Expiration Days50 cited
  • 1996Expiration day effects of stock index derivatives in Germany47 cited
  • 2001Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange46 cited
  • 1996Stock Market Volatility around Expiration Days in Japan46 cited
  • 1994Triple‐witching hour, the change in expiration timing, and stock market reaction36 cited
  • 1993Whatever Happened to the Triple Witching Hour?35 cited

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