2019
DOI: 10.1007/s00181-019-01627-2
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Expiration day effects on European trading volumes

Abstract: This study investigates the effect of periodic events, such as the stock index futures and options expiration days and the Morgan Stanley Capital International (MSCI) quarterly index reviews, on the trading volume in the pan-European equity markets. The motivation of this study stems from anecdotal evidence of increased trading volume in the equity markets during the run-up to the index options and futures expiration days and MSCI rebalances. This study investigates this phenomenon in more detail and analyses … Show more

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Cited by 6 publications
(5 citation statements)
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References 37 publications
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“…In addition, the analysis also finds no significant expiration-day effects on underlying market trading volume. This contradicts results reported by Stoll and Whaley (1997); Alkebäck and Hagelin (2004) and Batrinca et al (2020) who find a significant impact on underlying market volatility on the expiration day. The authors posit that the lack of impact of expiration-day effects of the VN30-Index futures contract on underlying market volatility and trading volume is due to the Vietnam derivatives market's very early stages in its introduction, with both volume and products traded in the market being limited.…”
Section: Discussioncontrasting
confidence: 93%
See 3 more Smart Citations
“…In addition, the analysis also finds no significant expiration-day effects on underlying market trading volume. This contradicts results reported by Stoll and Whaley (1997); Alkebäck and Hagelin (2004) and Batrinca et al (2020) who find a significant impact on underlying market volatility on the expiration day. The authors posit that the lack of impact of expiration-day effects of the VN30-Index futures contract on underlying market volatility and trading volume is due to the Vietnam derivatives market's very early stages in its introduction, with both volume and products traded in the market being limited.…”
Section: Discussioncontrasting
confidence: 93%
“…It is found that the index futures expiration-day has no impact on trading volume of the spot market. This result is contrary to previous findings of Stoll and Whaley (1997); Alkebäck and Hagelin (2004); Batrinca et al (2020) and Gurgul and Suliga (2020). However, these results may reflect the current situation in the Vietnam stock market.…”
Section: The Effect Of Index Futures Expiration-day On Spot Market Trading Volumecontrasting
confidence: 99%
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“…The first evidence found in favor of expiration day effects was provided by Stoll and Whaley (1987), who found abnormal volume and insignificant price movement in the US stock market. Further evidence was found in different stock markets by Schlag (1996), Alkebäck and Hagelin (2004), Chung and Hseu (2008), Hsieh and Ma (2009), Gurgul and Suliga (2019), Singh and Shaik (2020), Batrinca et al (2020), and others. Edwards (1988) found volatility growth in the spot market during expiration days of index futures contracts.…”
Section: Literature Reviewmentioning
confidence: 63%