Expiration day effects of stock index derivatives in Germany
研究发现德国股指期货季度到期日交易量显著增加，开盘时交易集中，但波动率基本不变；期权到期时交易活动在10分钟结算期内增加，且期货开盘到期导致收益反转成本更高。
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.