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ArticleStock Market Volatility Around Expiration Days

George Andrew Karolyi1996

Article1996

Stock Market Volatility Around Expiration Days

George Andrew Karolyi

50 citations·0/0 files stored·The Journal of Derivatives

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1988A Theory of Intraday Patterns: Volume and Price Variability 1986A transaction data study of weekly and intradaily patterns in stock returns 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets 1985An Investigation of Transactions Data for NYSE Stocks 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?1987Program Trading and Expiration-Day Effects 1995Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

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2001Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange 2004Expiration day effects of index futures and options: evidence from a market with a long settlement period 2013Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market 2006New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange 2005

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1996Stock Market Volatility around Expiration Days in Japanpreprint · 8 shared references 2001Intra-day seasonalities on stock returns: evidence from the Turkish Stock Marketarticle · 6 shared references 2012The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchangearticle · 6 shared references 2013Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Marketarticle · 6 shared references 2005Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency dataarticle · 6 shared references 1998Is There Private Information in the FX Market? The Tokyo Experimentarticle · 5 shared references

Details

Year1996

Typearticle

Published1996-11-30

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.3905/jod.1996.407969

openalex_workW2137492364

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

2006Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges