Szczegóły publikacji
Opis bibliograficzny
Expiration day effects of stock and index futures on the Warsaw Stock Exchange / Milena SULIGA, Tomasz WÓJTOWICZ // Bank i Kredyt ; ISSN 0137-5520. — 2019 — vol. 50 no. 1, s. 45–81. — Bibliogr. s. 68–69, Abstr.
Autorzy (2)
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 127931 |
|---|---|
| Data dodania do BaDAP | 2020-03-23 |
| Tekst źródłowy | URL |
| Rok publikacji | 2019 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Creative Commons | |
| Czasopismo/seria | Bank i Kredyt |
Abstract
This paper examines the impact of stock and index futures expirations on the spot market on the Warsaw Stock Exchange. Three of the most commonly-observed effects are analysed, namely increased trading volume of the underlying asset, abnormally high volatility of returns on the expiration day and a price reversal after the expiration. The study confirms that index futures expirations induce increased trading activity of investors, reflected in abnormally high turnover and relative turnover values of stocks from the index. In the case of single stocks, however, all three effects are observed. The reversal of stock prices takes place just after futures expiration and is reflected in the opening prices on the next trading session. Additional analysis performed in sub-periods reveals a significant impact of changes in the short selling rules introduced in May 2015 on expiration day effects. © 2019 Narodowy Bank Polski. All Rights Reserved.
