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Expiration day effects of stock index derivatives in Germany (1996)

Schlag, Christian

Oxford, UK : Blackwell Publishing Ltd

European financial management 2 (1996), S. 0

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ISSN: 1468-036X

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. an increase in trading activity is also observed over the 10-minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. an increase is found for the 10-minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1468-036X.1996.tb00029.x

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