Expiration day effects of index futures and options: evidence from a market with a long settlement period-Reference-Cited by-同舟云学术

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Expiration day effects of index futures and options: evidence from a market with a long settlement period

Published:2004-03-15 Issue:6 Volume:14 Page:385-396
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Alkebäck Per,Hagelin Niclas

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/09603100410001673612

Reference22 articles.

1. Arbitrage in Stock Index Futures

2. Expiration-Day Effects of Index Futures and Options: Some Canadian Evidence

3. Triple-witching hour, the change in expiration timing, and stock market reaction

4. EARLY UNWINDING STRATEGY IN INDEX OPTIONS-FUTURES ARBITRAGE

5. The behavior of the volatility implicit in the prices of stock index options

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