Expiration day effects: The case of Hong Kong
Publication in refereed journal


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摘要Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. (C) 2003 Wiley Periodicals, Inc.
著者Chow YF, Yung HHM, Zhang H
期刊名稱Journal of Futures Markets
出版年份2003
月份1
日期1
卷號23
期次1
出版社JOHN WILEY & SONS INC
頁次67 - 86
國際標準期刊號0270-7314
電子國際標準期刊號1096-9934
語言英式英語
Web of Science 學科類別Business & Economics; Business, Finance; BUSINESS, FINANCE

上次更新時間 2020-20-09 於 03:25