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

Suliga, Milena

doi:10.7494/manage.2017.18.2.201

Cited by 1 publication

(10 citation statements)

References 12 publications

(26 reference statements)

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“…The expiration-day effects of futures on the shares and indices of the Warsaw Stock Exchange have been studied by Morawska (2004Morawska ( , 2007, Suliga (2017), and Suliga and Wójtowicz (2019). Morawska (2004Morawska ( , 2007 checked the impact of the expiration of WIG20 index futures on the returns of the index itself and on the trading volume of the stocks from it.…”

Section: Expiration-day Effects On Wsementioning

confidence: 99%

“…Morawska's focus on the WIG20 is justified; during those years, the volume of the futures on the WIG20 constituted more than 97% of the entire trading volume on the derivative market. Suliga (2017) conducted her study on expiration days during the time period of 2001-2016. She also took the effects of futures on the mWIG40 as well as futures on individual stocks into consideration.…”

Section: Expiration-day Effects On Wsementioning

confidence: 99%

“…The most important reason for choosing the WSE is the scarcity of research on expiration-day effects on the Warsaw Stock Exchange (Morawska 2004(Morawska , 2007Suliga 2017;Suliga and Wójtowicz 2019). The studies by Morawska (2004Morawska ( , 2007 were conducted in the initial period of the derivatives market in Poland with respect to WIG20 index futures while futures on individual stocks were omitted.…”

Section: Introductionmentioning

confidence: 99%

“…The studies by Morawska (2004Morawska ( , 2007 were conducted in the initial period of the derivatives market in Poland with respect to WIG20 index futures while futures on individual stocks were omitted. This direction of research was undertaken by Suliga (2017); however, this was only with respect to price reversal.…”

Section: Introductionmentioning

confidence: 99%

“…The contribution by Suliga and Wójtowicz (2019) is concerned with the impact of derivatives on the spot market on the WSE with respect to all three expiration-day effects based on recent daily data. This paper is based on intraday data.…”

Section: Introductionmentioning

confidence: 99%

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Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

Gurgul

Suliga

2019

Cent Eur J Oper Res

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Based on high-frequency data, this study is concerned with the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange. The typical effects of futures expirations include the impact on the trading volume of the underlying asset, abnormally high volatility of the returns on expiration day, and price reversal after expiration. In line with observations of the effects for other markets, it can also be noticed that futures expiration is a source of rises in trading volume for the WSE. There is an observed significant abnormal trading volume and turnover of stocks that are underlying assets of futures as well as an increased volatility of these stocks' returns on expiration day. An additional analysis conducted during three sub-periods (around April 15, 2013, and May 31, 2015) checks whether the implementation of a new transaction system on the WSE and the changes in short-selling rules influenced the expiration-day effects. The results suggest that the implementation of a new regulation by the EU on the WSE concerning short selling in trading on stock exchanges had a significant impact on expiration-day effects.

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Section: Expiration-day Effects On Wsementioning

confidence: 99%

Section: Expiration-day Effects On Wsementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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