کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9731467 1480484 2005 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data
چکیده انگلیسی
This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4–5, September 2005, Pages 730-747
نویسندگان
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