New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange

Manuel Illueca () and Juan Angel Lafuente

Journal of Futures Markets, 2006, vol. 26, issue 9, 923-938

Abstract: Additional evidence is provided on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed by T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys (2003). Findings reveal not only a significant increase in spot trading activity, but also the existence of a significant jump in spot volatility at index futures expiration. Moreover, the importance of the data frequency considered is analyzed. Our research reveals that the use of GARCH methodology from daily data does not have the ability to statistically assess such expiration‐day effect. Additional empirical evidence is provided for the S&P 500 stock index futures market. Neither unconditional nor conditional realized volatility has a significant increase at expiration for the U.S. market, suggesting that this effect is specific for the Spanish market, at least for the period analyzed. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:923–938, 2006

Date: 2006
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Working Paper: NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE (2006)
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