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- W2073410739 abstract "This is an examination of 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 (EAS) price, which is the 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 found to both be higher than normal. Most important, trading intensifies in terms of both volume and frequency at times close to the five-minute time marks. Significant order imbalance and price reversal patterns are not found. That there is no systematic order imbalance pattern explains the absence of a price reversal pattern." @default.
- W2073410739 created "2016-06-24" @default.
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- W2073410739 date "2007-01-01" @default.
- W2073410739 modified "2023-09-27" @default.
- W2073410739 title "Expiration-Day Effects - An Asian Twist" @default.
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- W2073410739 doi "https://doi.org/10.2139/ssrn.1007150" @default.
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