Back to Search
Start Over
Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market.
- Source :
- Applied Financial Economics; Feb2001, Vol. 11 Issue 1, p107-118, 12p, 4 Charts
- Publication Year :
- 2001
-
Abstract
- By employing high-frequency data, a series of minute-by-minute HSI data, this paper examines whether the expiration-day effect exists in the last trading period before the market closes in the Hong Kong stock market. Contrary to the previous findings in the well-developed US markets, this paper finds that the expiration-day effect neither exists on the whole expiration day nor in the last trading time of the expiration day before the market closes. This study suggests that the expiration-day effects are not unavoidable by-products of the creation of index futures in the stock market. [ABSTRACT FROM AUTHOR]
- Subjects :
- FUTURES
DERIVATIVE securities
FUTURES market
INVESTMENTS
STOCK exchanges
Subjects
Details
- Language :
- English
- ISSN :
- 09603107
- Volume :
- 11
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Applied Financial Economics
- Publication Type :
- Academic Journal
- Accession number :
- 3954493
- Full Text :
- https://doi.org/10.1080/09603100150210318