✦ LIBER ✦

Options expiration effects and the role of individual share futures contracts

✍ Scribed by Donald Lien; Li Yang

Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 93 KB
Volume: 23
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10100

No coin nor oath required. For personal study only.

✦ Synopsis

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. Also, the
stock price tends to move up near expiration days after physical delivery replaces cash settlement. These results provide empirical support to the
conjectures made in Corredor et al. (2001). © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1107–1118, 2003

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