Expiration day effects of index futures and options: evidence from a market with a long settlement period

Per Alkeback and Niclas Hagelin ()

Applied Financial Economics, 2004, vol. 14, issue 6, 385-396

Abstract: This study examines index futures and options expiration day effects on the Swedish market. While the results for the period 1988-1998 indicate that trading volumes on the cash market were significantly higher on expiration days than on other days, no evidence suggesting that price distortions occurred is found. This could be due to the longer settlement period on the Swedish market, compared with that on the Canadian, German, and the US markets, where price distortions have been documented. However, some price distortion may have been experienced for the first half of the sample period, a finding which the cause for is discussed.

Date: 2004
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DOI: 10.1080/09603100410001673612

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