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

References

• Anderson , R. W. 1985 . Some determinants of the volatility of futures prices . The Journal of Futures Markets , 5 : 334 – 348 .
   Google Scholar
• Anderson , R. W. and Danthine , J. P. 1983 . The time pattern of hedging and the volatility of futures . Review of Economics Studies , 50 : 249 – 266 .
   Web of Science ®Google Scholar
• Berndt , E. K. , Hall , B. H. , Hall , R. E. and Hausman , J. A. 1974 . Estimation and inference in non-linear structural models . Annals of Economic and Social Measurement , 3 : 653 – 665 .
   Google Scholar
• Black , F. 1976 . “ Studies of stock market volatility changes ” . In Proceedings of the American Statistical Association Business and Economic Statistics Section 177 – 181 .
   Google Scholar
• Bollen , N. and Whaley , R. E. 1999 . Do expirations of Hang Seng Index derivatives affect stock market volatility? . Pacific-Basin Finance Journal , 7 : 453 – 470 .
   Google Scholar
• Bollerslev , T. 1990 . Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach . Review of Economics and Statistics , 72 : 498 – 505 .
   Web of Science ®Google Scholar
• Booth , G. G. , Martikainen , T. and Tse , Y. 1997 . Price and volatility spillovers in Scandinavian stock markets . Journal of Banking and Finance , 21 : 811 – 823 .
   Web of Science ®Google Scholar
• Chan , K. , Chan , K. C. and Karolyi , G. A. 1991 . Intraday volatility in the stock index and stock index futures markets . The Review of Financial Studies , 4 : 657 – 684 .
   Web of Science ®Google Scholar
• Chen , Y. J. , Duan , J. C. and Hung , M. W. 1999 . Volatility and maturity effects in the Nikkei index futures . The Journal of Futures Markets , 19 : 895 – 909 .
   Web of Science ®Google Scholar
• Chen , C. and Williams , J. 1994 . Triple-witching hour, the change in expiration timing, and stock market reaction . The Journal of Futures Markets , 14 : 275 – 292 .
   Google Scholar
• Christie , A. 1982 . The stocastic behavior of common stock variances: value, leverage, and interest rate effects . Journal of Financial Economics , 10 : 407 – 432 .
   Web of Science ®Google Scholar
• Corredor , P. , Lechon , P. and Santamaria , R. 1997 . El vencimiento de los derivados y el IBEX-35 . Revista de Economía Aplicada , 5 : 81 – 97 .
   Google Scholar
• Engle , R. 1982 . Autoregressiw conditional heteroscedacity with estimates of the variance of United Kingdom Inflation . Econometrica , 55 : 987 – 1008 .
   Google Scholar
• Engle , R. B. and Granger , C. W. 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 276 .
   Web of Science ®Google Scholar
• Engle , R. F. and Ng , V. K. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 5 : 1749 – 1778 .
   Google Scholar
• Galloway , T. M. and Kolb , R. W. 1996 . Futures prices and the maturity effect . The Journal of Futures Markets , 16 : 809 – 828 .
   Web of Science ®Google Scholar
• Grossman , S. J. 1988a . Program trading and market volatility: A report on interday relationships . Financial Analysts Journal , July–August : 18 – 28 .
   Google Scholar
• Grossman , S. J. 1988b . An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies . Journal of Business , 61 : 275 – 298 .
   Web of Science ®Google Scholar
• Han , L. , Kling , J. L. and Sell , C. W. 1999 . Foreign exchange futures volatility: day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements . The Journal of Futures Markets , 19 : 665 – 693 .
   Web of Science ®Google Scholar
• Hancock , G. D. 1993 . Whatever happened to the triple witching hour? . Financial Analysts Journal , May–June : 66 – 72 .
   Google Scholar
• Herbst , A. F. and Marbely , E. D. 1990 . Stock index futures, expiration day volatility, and the special Friday opening a note . The Journal of Futures Markets , 10 : 323 – 325 .
   Google Scholar
• Johansen , S. 1988 . Statistical analisys of cointegration vectors . Journal of Economics Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , S. and Juselius , K. 1990 . The full information maximum likelihood procedure for inference on cointegration with applications . Oxford Bulletin of Economics Statistics , 52 : 169 – 210 .
   Web of Science ®Google Scholar
• Johansen , S. and Juselius , K. 1992 . Testing structural hypotheses in a multivariate cointegration analysis of PPP and the UIP for the UK . Journal of Econometrics , 53 : 211 – 244 .
   Web of Science ®Google Scholar
• Karolyi , A. G. 1996 . Stock market volatility around expiration days in Japan . Journal of Derivatives , 4 : 23 – 43 .
   Google Scholar
• Klemkosky , R. C. 1978 . The impact of option expirations on stock prices . Journal of Financial and Quantitative Analysis , 13 : 507 – 518 .
   Google Scholar
• Khoury , N. and Yourougou , P. 1993 . Determinants of agricultural futures prices volatilities: evidence from Winnipeg Commodity Exchange . The Journal of Futures Markets , 13 : 345 – 356 .
   Web of Science ®Google Scholar
• Koutmos , G. and Tucker , M. 1996 . Temporal relationships and dynamic interactions between spot and futures stock markets . The Journal of Futures Markets , 16 : 55 – 69 .
   Web of Science ®Google Scholar
• Kroner , K. and Sultan , J. 1991 . “ Exchange rate volatility and time varying hedge ratios ” . In Pacific-Basin Capital Markets Research , Edited by: Rhee , S. G. and Chang , R. P. Vol II , Amsterdam : Elsevier Science Publishers, North-Holland .
   Google Scholar
• Kroner , K. and Sultan , J. 1993 . Time-varying distributions and dynamic hedging with foreign currency futures . Journal of Financial and Quantitative Analysis , 28 : 535 – 551 .
   Web of Science ®Google Scholar
• Milonas , N. 1986 . Price variability and the maturity effect in futures markets . The Journal of Futures Markets , 6 : 443 – 460 .
   Web of Science ®Google Scholar
• Nelson , D. B. 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .
   Web of Science ®Google Scholar
• Pardo , A. 1998 . Efectos de los mercados derivados sobre el IBEX-35 en el active subyacente . Revista Española de Financiación y Contabilidad , 94 : 99 – 128 .
   Google Scholar
• Park , T. and Switzer , L. 1995a . Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note . The Journal of Futures Markets , 15 : 61 – 67 .
   Web of Science ®Google Scholar
• Park , T. and Switzer , L. 1995b . Time-varying distributions and the optimal hedge ratios for stock index futures . Applied Financial Economics , 5 : 131 – 137 .
   Google Scholar
• Rutledge , D. 1976 . A note on the variability of futures prices . Review of Economics and Statistics , 58 : 118 – 120 .
   Web of Science ®Google Scholar
• Samuelson , P. A. 1965 . Proof that properly anticipated prides fluctuate randomly . Industrial Management Review , 6 : 41 – 49 .
   Web of Science ®Google Scholar
• Stoll , H. R. and Whaley , R. E. 1987 . Program trading and expiration day effects . Financial Analysts Journal , March–April : 16 – 28 .
   Google Scholar
• Stoll , H. R. and Whaley , R. E. 1991 . Expiration day effects: What has changed? . Financial Analysts Journal , January–February : 58 – 72 .
   Google Scholar
• Sutcliffe , Ch. M. S. 1997 . Stock Index Futures: Theories and International Evidence , 2nd edn , International Thomson Business Press .
   Google Scholar
• Tse , Y. K. 1998 . International transmission of information: evidence from the Euroyen and Eurodollar futures markets . International Money and Finance , 17 : 909 – 929 .
   Web of Science ®Google Scholar
• Tse , Y. K. 1999 . Price discovery and volatility spillovers in the DJIA index and futures markets . The Journal of Futures Markets , 19 : 911 – 930 .
   Web of Science ®Google Scholar