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Stock Market Volatility Around Expiration Days

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References

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1990Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew61 cited

1993Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity57 cited

Cited by

2001Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange46 cited
2004Expiration day effects of index futures and options: evidence from a market with a long settlement period45 cited
2013Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market25 cited
2006New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange25 cited
2005Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data23 cited
2006Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges22 cited
2006The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange20 cited