Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market

Andy Kan

Applied Financial Economics, 2001, vol. 11, issue 1, 107-118

Abstract: By employing high-frequency data, a series of minute-by-minute HSI data, this paper examines whether the expiration-day effect exists in the last trading period before the market closes in the Hong Kong stock market. Contrary to the previous findings in the well-developed US markets, this paper finds that the expiration-day effect neither exists on the whole expiration day nor in the last trading time of the expiration day before the market closes. This study suggests that the expiration-day effects are not unavoidable by-products of the creation of index futures in the stock market.

Date: 2001
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DOI: 10.1080/09603100150210318

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