EconPapers    
Economics at your fingertips  
 

Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange

P. Corredor, P. Lechón and R. Santamaría

Journal of Futures Markets, 2001, vol. 21, issue 10, 905-928

Abstract: This study analyzes the effect of the expiration of the Ibex‐35 Index derivatives, as well as the first four stock options traded in the Spanish Equity Derivatives Exchange, on the return, conditional volatility, and trading volume of the underlying assets. The analysis covers the period from the introduction of the various derivatives to December 1995. This period has been divided into two subperiods in order to determine if there are changes in the conclusions. The expiration of the Ibex‐35 index derivatives is associated with an increase in the trading volume of the underlying asset, but it has no significant effect on either the underlying asset prices or on the level of volatility on the expiration day. However, the expiration of the stock options has significant impact on their underlying assets. We observed a downward pressure on prices and a reduction of volatility level in the week before the expiration date and a significant increase in trading volume on the expiration day. The absence of futures contracts on individual stocks, among other possible causes, may explain these differences. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:905–928, 2001

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/

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:wly:jfutmk:v:21:y:2001:i:10:p:905-928

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-20
Handle: RePEc:wly:jfutmk:v:21:y:2001:i:10:p:905-928