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Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market
14 references·1 citing·37 second hop
Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market (2001)Expiration-day effect: evidence from high…Simultaneous volatility effects in index futures (1994)Simultaneous volatility effec…Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets (1994)Futures markets, regulation a…Whatever Happened to the Triple Witching Hour? (1993)Whatever Happened to the Trip…Stock index futures listing and structural change in time‐varying volatility (1992)Stock index futures listing a…Futures-Trading Activity and Stock Price Volatility (1992)Futures-Trading Activity and …Information, volatility, volume and maturity: an investigation of stock index futures (1991)Information, volatility, volu…Expiration-Day Effects: What Has Changed? (1991)Expiration-Day Effects: What …Stock index futures, expiration day volatility, and the “special” friday opening: A note (1990)Stock index futures, expirati…Stock Index Futures and Cash Market Volatility (1989)Stock Index Futures and Cash …Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence (1989)Expiration-Day Effects of Ind…Does Futures Trading Increase Stock Market Volatility? (1988)Does Futures Trading Increase…Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects (1987)Volume determination in stock…Program Trading and Expiration-Day Effects (1987)Program Trading and Expiratio…A Note on the Variability of Futures Prices (1976)A Note on the Variability of …Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data (2005)Availability and settlement o…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Temporal relationships and dynamic interactions between spot and futures stock markets (1996)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Stock price clustering on option expiration dates (2005)The Analysis of Economic Time-Series-Part I: Prices (1953)COMMODITY FUTURES: TRENDS OR RANDOM WALKS? (1970)Conjectured Models for Trends in Financial Prices, Tests and Forecasts (1980)Factors affecting agricultural futures price variance (1987)Variability in soybean futures prices: An integrated framework (1992)A transaction data study of weekly and intradaily patterns in stock returns (1986)Measuring Closing Price Manipulation (2009)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The behavior of the volatility implicit in the prices of stock index options (1988)Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures (1997)Stock Market Volatility: Ten Years After the Crash (1998)Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)Has futures trading activity caused stock price volatility? (1995)Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets (2004)Transaction tax and stock market behavior: evidence from an emerging market (2006)An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)Bid-ask spreads in the interbank foreign exchange markets (1994)The Impact of Trader Type on the Futures Volatility‐Volume Relation (1999)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks (2001)On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret? (2002)Multifractal detrended fluctuation analysis of the Chinese stock index futures market (2012)New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange (2006)Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market (2013)Expiration day effects of stock index derivatives in Germany (1996)Expiration day effects: The case of Hong Kong (2002)Futures and options expiration-day effects: The Indian evidence (2005)THE EFFECT OF FUTURES TRADING ON SPOT PRICE VOLATILITY: EVIDENCE FOR BRENT CRUDE OIL USING GARCH (1992)A test of the Samuelson Hypothesis using realized range (2008)Measuring the liquidity part of volume (2014)
this work references cited by second hop

References

  • 1992Futures-Trading Activity and Stock Price Volatility280 cited
  • 1988Does Futures Trading Increase Stock Market Volatility?211 cited
  • 1987Program Trading and Expiration-Day Effects207 cited
  • 1992Stock index futures listing and structural change in time‐varying volatility150 cited
  • 1991Expiration-Day Effects: What Has Changed?110 cited
  • 1976A Note on the Variability of Futures Prices87 cited
  • 1989Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence69 cited
  • 1989Stock Index Futures and Cash Market Volatility65 cited
  • 1990Stock index futures, expiration day volatility, and the “special” friday opening: A note44 cited
  • 1991Information, volatility, volume and maturity: an investigation of stock index futures40 cited
  • 1987Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects38 cited
  • 1993Whatever Happened to the Triple Witching Hour?35 cited
  • 1994Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets32 cited
  • 1994Simultaneous volatility effects in index futures26 cited

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  • 2005Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data

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23 cited