EconPapers    
Economics at your fingertips  
 

Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

Henryk Gurgul () and Milena Suliga ()
Additional contact information
Milena Suliga: AGH University of Science and Technology

Central European Journal of Operations Research, 2020, vol. 28, issue 3, No 2, 869-904

Abstract: Abstract Based on high-frequency data, this study is concerned with the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange. The typical effects of futures expirations include the impact on the trading volume of the underlying asset, abnormally high volatility of the returns on expiration day, and price reversal after expiration. In line with observations of the effects for other markets, it can also be noticed that futures expiration is a source of rises in trading volume for the WSE. There is an observed significant abnormal trading volume and turnover of stocks that are underlying assets of futures as well as an increased volatility of these stocks’ returns on expiration day. An additional analysis conducted during three sub-periods (around April 15, 2013, and May 31, 2015) checks whether the implementation of a new transaction system on the WSE and the changes in short-selling rules influenced the expiration-day effects. The results suggest that the implementation of a new regulation by the EU on the WSE concerning short selling in trading on stock exchanges had a significant impact on expiration-day effects.

Keywords: Tick-by-tick data; Futures market; Expiration-day effects; Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: C32 C14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10100-018-00606-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:cejnor:v:28:y:2020:i:3:d:10.1007_s10100-018-00606-9

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10100

DOI: 10.1007/s10100-018-00606-9

Access Statistics for this article

Central European Journal of Operations Research is currently edited by Ulrike Leopold-Wildburger

More articles in Central European Journal of Operations Research from Springer, Slovak Society for Operations Research, Hungarian Operational Research Society, Czech Society for Operations Research, Österr. Gesellschaft für Operations Research (ÖGOR), Slovenian Society Informatika - Section for Operational Research, Croatian Operational Research Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-04-05
Handle: RePEc:spr:cejnor:v:28:y:2020:i:3:d:10.1007_s10100-018-00606-9