EconPapers    
Economics at your fingertips  
 

Expiration day effects of stock and index futures on the Warsaw Stock Exchange

Milena Suliga () and Tomasz Wójtowicz ()
Additional contact information
Milena Suliga: AGH University of Science and Technology in Krakow, Faculty of Management, Department of Applications of Mathematics in Economics
Tomasz Wójtowicz: AGH University of Science and Technology in Krakow, Faculty of Management, Department of Applications of Mathematics in Economics

Bank i Kredyt, 2019, vol. 50, issue 1, 45-82

Abstract: This paper examines the impact of stock and index futures expirations on the spot market on the Warsaw Stock Exchange. Three of the most commonly-observed effects are analysed, namely increased trading volume of the underlying asset, abnormally high volatility of returns on the expiration day and a price reversal after the expiration. The study confirms that index futures expirations induce increased trading activity of investors, reflected in abnormally high turnover and relative turnover values of stocks from the index. In the case of single stocks, however, all three effects are observed. The reversal of stock prices takes place just after futures expiration and is reflected in the opening prices on the next trading session. Additional analysis performed in sub-periods reveals a significant impact of changes in the short selling rules introduced in May 2015 on expiration day effects.

Keywords: futures market; expiration day effects; stock market; event study (search for similar items in EconPapers)
JEL-codes: C32 C14 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://bankikredyt.nbp.pl/content/2019/01/BIK_01_2019_03.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:50:y:2019:i:1:p:45-82

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Michał Wieloch ().

 
Page updated 2020-07-23
Handle: RePEc:nbp:nbpbik:v:50:y:2019:i:1:p:45-82