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Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange

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Języki publikacji
EN
Abstrakty
EN
This paper studies an impact of futures expiration days on the Polish equity market. From three potential expiration effects appearing in the literature (namely, the increased trading volume of underlying assets, increased volatility of their returns, and price reversal after expiration), the latest one is researched in detail for expiration days of futures on the WIG20 index, the mWIG40 index, and individual stocks. The data covers the period from January 2001 to December 2016. The phenomenon of price reversal is studied with the use of regression models, price reversal measures, and event study methodology. The results obtained for expiration days are compared with the results from non-expiration days to check whether a potential price reversal can be interpreted as an effect of expiration. No price reversals after futures expirations were found in the returns of the WIG20 nor mWIG40 indexes. In the case of individual stocks, results from all of the three methods support the assumption that price reversal occurs after expiration. The reversal is immediate and is reflected in overnight returns more than in daily returns.
Wydawca
Rocznik
Strony
201--225
Opis fizyczny
Bibliogr. 21 poz., tab.
Twórcy
autor
  • AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics, msuliga@zarz.agh.edu.pl
Bibliografia
  • [1] Alkebäck, P. and Hagelin, N. (2004) ‘Expiration Day Effects of Index Futures and Options: Evidence from a Market with a Long Settlement Period,’ Applied Financial Economics, vol. 14, issue 6, pp. 385–396.
  • [2] Bollen, N.P.B. and Whaley, R.E. (1999) ‘Do expiration of Hang Seng Index derivatives affect stock market volatility?,’ Pacific-Basin Finance Journal, vol. 7, pp. 453–470.
  • [3] Chamberlain, T.W., Cheung, S.C. and Kwan, C.C.Y. (1989) ‘Expiration-day effects of index futures and options: Some Canadian evidence,’ Financial Analysts Journal, vol. 45, No. 5, pp. 67–71.
  • [4] Chen, C. and Williams, J. (1994) ‘Triple-witching hour, the change in expiration timing, and stock market reaction,’ Journal of Futures Markets, vol. 14, pp. 275–292.
  • [5] Chow, Y.F., Yung, H.H.M. and Zhang, H. (2003) ‘Expiration day effects: The case of Hong Kong,’ Journal of Futures Markets, vol. 23, pp. 67–86.
  • [6] Day, T.E. and Lewis, C.M. (1988) ‘The behaviour of the volatility implicit in the prices of stock index options,’ Journal of Financial Economics, vol. 22, pp. 103–122.
  • [7] Diz, F. and Finucane, T.J. (1998) ‘Index option expirations and market volatility,’ Journal of Financial Engineering, vol. 7, pp. 1–23.
  • [8] Fung, J.K.W. and Jung, H.H.M. (2009) ‘Expiration-Day Effects – An Asian Twist,’ Journal of Futures Markets, vol. 29, pp. 430–450.
  • [9] Gurgul, H. (2006) Analiza zdarzeń na rynkach akcji, Kraków: Oficyna Ekonomiczna.
  • [10] Illueca, M. and Lafuente, J.Á. (2006) ‘New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchange,’ Journal of Futures Markets, vol. 26, pp. 923–938.
  • [11] Lien, D. and Yang, L. (2005) ‘Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data,’ The Quarterly Review of Economics and Finance, vol. 45, pp. 730–747.
  • [12] Karolyi, G.A. (1996) ‘Stock market volatility around expiration days in Japan,’ Journal of Derivatives, vol. 4, No. 2, pp. 23–43.
  • [13] Kolari, J. and Pynnönen, S. (2001) ‘Nonparametric rank tests for event studies,’ Journal of Empirical Finance, vol. 18, pp. 953–971.
  • [14] Morawska, H. (2004) ‘Wpływ efektu trzech wiedźm na okresowe kształtowanie się cen instrumentu bazowego,’ Zeszyty Naukowe Uniwersytetu Szczeciń- skiego. Finanse. Rynki finansowe. Ubezpieczenia, No. 2, vol. 2, pp. 403–416.
  • [15] Morawska, H. (2007) ‘Wpływ dnia wygaśnięcia indeksowych kontraktów terminowych i opcji na rynek kasowy GPW w Warszawie SA,’ in Gabryelczyk, K., Ziarko-Siwek, U. (eds.) Inwestycje finansowe, Warszawa: CeDeWu.
  • [16] Narang, S. and Vij, M. (2013) ‘Long-Term Effects of Expiration of Derivatives on Indian Spot Volatility,’ ISRN Economics, vol. 2013, pp. 1–6.
  • [17] Schlag, C. (1996) ‘Expiration day effects of stock index derivatives in Germany,’ European Financial Management, No. 1, vol. 2, pp. 69–95.
  • [18] Stoll, H.R. and Whaley, R.E. (1986) ‘Expiration Day Effects of Index Options and Futures,’ Monograph Series in Finance and Economics, Monograph 1986-3.
  • [19] Stoll, H.R. and Whaley, R.E. (1987) ‘Program Trading and Expiration-Day Effects,’ Financial Analysts Journal, vol. 43, No. 2, pp. 16–28.
  • [20] Stoll, H.R. and Whaley, R.E. (1990) ‘Program trading and individual stock returns: Ingredients of the triple-witching brew,’ Journal of Business, vol. 63, pp. 165–192.
  • [21] Stoll, H.R. and Whaley, R.E. (1997) ‘Expiration-day effects of the all ordinaries share price index futures: Empirical evidence and alternative settlement procedures,’ Australian Journal of Management, vol. 22, No. 22, pp. 139–174.
Uwagi
Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-c164881a-fdbb-455b-8795-4ea1532de4eb
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