Expiration Day Effects of Stock Index Derivatives in Germany

Posted: 27 Oct 1999

See all articles by Christian Schlag

Christian Schlag

Goethe University Frankfurt; Leibniz Institute for Financial Research SAFE

Abstract

There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. An increase in trading activity is also observed over the ten minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. An increase is found for the ten minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found.

JEL Classification: G15, G13

Suggested Citation

Schlag, Christian, Expiration Day Effects of Stock Index Derivatives in Germany. Available at SSRN: https://ssrn.com/abstract=7372

Christian Schlag (Contact Author)

Goethe University Frankfurt ( email )

Faculty of Economics and Business
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, Hessen 60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

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