New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchange
✍ Scribed by M. Illueca; J. A. LaFuente
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 169 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Additional evidence is provided on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed by T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys (2003). Findings reveal not only a significant increase in spot trading activity, but also the existence of a significant jump in spot volatility at index futures expiration. Moreover, the importance of the data frequency considered is analyzed. Our research reveals that the use of GARCH methodology from daily data does not have the ability to statistically assess such expiration-day effect. J. A. LaFuente acknowledges financial support from the Spanish Ministry of Education through grant BEC2003-03965. An earlier version of this paper was published as a working paper of the