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

Managerial Economics

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Field Value
 
Title Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange
 
Creator Suliga, Milena
 
Subject —
—
 
Description 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 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 inovernight returns more than in daily returns.
 
Publisher AGH University of Science and Technology Press.
 
Contributor —
 
Date 2018-03-27
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journals.agh.edu.pl/manage/article/view/2839
10.7494/manage.2017.18.2.201
 
Source Managerial Economics; Vol 18, No 2 (2017); 201
1898-1143
 
Language eng
 
Relation https://journals.agh.edu.pl/manage/article/view/2839/1991
 
Rights Copyright (c) 2018 Managerial Economics