Expiration‐day effects—An Asian twist
研究了香港指数衍生品共同到期日当天，指数股票的日内交易活动，发现交易量和交易次数高于正常水平，且在每五分钟时间点附近交易加剧，但未发现显著的价格反转和压缩模式。
Abstract This study examines the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index options use an Asian‐style settlement procedure. All contracts are settled against the estimated average settlement price, an arithmetic average of the underlying cash index taken every five minutes on the expiration day. Trading volume and total trade count on the expiration day are both found to be higher than normal. Most important, trading intensifies in terms of volume and frequency close to the five‐minute time marks. The study does not find significant price reversal and price compression patterns. Although significant order imbalance pattern is found on some expiration days, the results show no association between order imbalance pattern and the next‐day return. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 28:430–450, 2009