Expiration-Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market-Reference-Cited by-同舟云学术

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Expiration-Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market

Published:2013-06-28 Issue:11 Volume:33 Page:1046-1070
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Agarwalla Sobhesh Kumar¹,Pandey Ajay¹

Affiliation:

1. Sobhesh Kumar Agarwalla (Assistant Professor) and Ajay Pandey (Professor) are at the Indian Institute of Management Ahmedabad; India

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21632/fullpdf

Reference48 articles.

1. Bid-ask spreads, trading volume and volatility: Intra-day evidence from the London Stock Exchange;Abhyankar;Journal of Business, Finance and Accounting,1997

2. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

3. Agarwalla , S. K. 2010

4. Expiration day effects of index futures and options: Evidence from a market with a long settlement period;Alkebäck;Applied Financial Economics,2004

5. Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns;Andersen;The Journal of Finance,1997a

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