Expiration-Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches
โ Scribed by Xu, Caihong
- Book ID
- 127314364
- Publisher
- John Wiley and Sons
- Year
- 2013
- Tongue
- English
- Weight
- 154 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. Thi
## Abstract This note examines options expiration effects in the presence of individual stock futures contracts with different settlement methods. It is found that the availability of the futures contracts attenuate the expiration effects on price volatility and trading volume of individual stocks.