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Options expiration effects and the role of individual share futures contracts
Author(s) -
Lien Donald,
Yang Li
Publication year - 2003
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.10100
Subject(s) - futures contract , expiration , stock index futures , volatility (finance) , expiration date , cash , financial economics , stock (firearms) , economics , settlement (finance) , stock price , monetary economics , business , finance , stock market index , engineering , stock market , medicine , payment , chemistry , mechanical engineering , paleontology , food science , horse , series (stratigraphy) , respiratory system , biology
This note examines options expiration effects in the presence of individual stock futures contracts with different settlement methods. It is foundthat the availability of the futures contracts attenuate the expiration effects on price volatility and trading volume of individual stocks. Also, thestock price tends to move up near expiration days after physical delivery replaces cash settlement. These results provide empirical support to theconjectures made in Corredor et al. (2001). © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1107–1118, 2003