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Applied Economics Volume 34, 2002 - Issue 13
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Original Articles

Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index

Vicent Aragó
&
A. Fernández
Pages 1617-1626 | Published online: 04 Oct 2010

Citations (11)

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Read on this site (4)

Guglielmo Maria Caporale & Alex Plastun. (2023) Witching days and abnormal profits in the us stock market. Cogent Economics & Finance 11:1.
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Wei-han Liu. (2014) Do futures prices exhibit maturity effect? A nonparametric revisit. Applied Economics 46:8, pages 813-825.
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Dimitris Kenourgios & Athanasios Katevatis. (2011) Maturity effect on stock index futures in an emerging market. Applied Economics Letters 18:11, pages 1029-1033.
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Hsiang-Tai Lee & Jonathan K. Yoder. (2007) A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios. Applied Economics 39:10, pages 1253-1265.
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Articles from other publishers (7)

Alex Plastun, Ludmila Khomutenko & Serhii Bashlai. (2022) Is There Any Witching in the Cryptocurrency Market?. Journal of Risk and Financial Management 15:2, pages 92.
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Pedro Gurrola & Renata Herrerías. (2011) Maturity effects in the Mexican interest rate futures market. Journal of Futures Markets 31:4, pages 371-393.
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Evdokia Xekalaki & Stavros Degiannakis. 2010. ARCH Models for Financial Applications. ARCH Models for Financial Applications 479 520 .
Huimin Chung & Mei-Maun Hseu. (2008) Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges. Journal of International Financial Markets, Institutions and Money 18:2, pages 107-120.
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M. Illueca & J. A. LaFuente. (2006) New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange. Journal of Futures Markets 26:9, pages 923-938.
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Vladimir Pyrlik & Aleksandra Leonova. (2021) Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market). SSRN Electronic Journal.
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Guglielmo Maria Caporale & Alex Plastun. (2021) Witching Days and Abnormal Profits in the US Stock Market. SSRN Electronic Journal.
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