Faculty of Economics and Business Administration Publications Database

Expiration Day Effects of Stock Index Derivatives in Germany

Volume: 2
Number: 1
Pages: 69 - 95
Month: March
ISSN-Print: 1354-7798
Link External Source: Online Version
Year: 1996
Keywords: Expiration days; Stock index derivatives
Abstract: There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. an increase in trading activity is also observed over the 10-minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. an increase is found for the 10-minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found.