Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 张华教授 (金融学系) |
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/fut.10054 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/18WOS source URL
其它资讯
摘要Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. (C) 2003 Wiley Periodicals, Inc.
着者Chow YF, Yung HHM, Zhang H
期刊名称Journal of Futures Markets
出版年份2003
月份1
日期1
卷号23
期次1
出版社JOHN WILEY & SONS INC
页次67 - 86
国际标準期刊号0270-7314
电子国际标準期刊号1096-9934
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
