Triple‐witching hour, the change in expiration timing, and stock market reaction
1994; Wiley; Volume: 14; Issue: 3 Linguagem: Inglês
10.1002/fut.3990140304
ISSN1096-9934
Autores Tópico(s)Market Dynamics and Volatility
ResumoJournal of Futures MarketsVolume 14, Issue 3 p. 275-292 Article Triple-witching hour, the change in expiration timing, and stock market reaction Chao Chen, Chao Chen Chao Chen is a Professor in the Department of Finance, Real Estate, and Insurance at California State University, Northridge.Search for more papers by this authorJames Williams, James Williams James Williams is an Associate Professor in the Department of Finance, Real Estate, and Insurance at California State University, Northridge.Search for more papers by this author Chao Chen, Chao Chen Chao Chen is a Professor in the Department of Finance, Real Estate, and Insurance at California State University, Northridge.Search for more papers by this authorJames Williams, James Williams James Williams is an Associate Professor in the Department of Finance, Real Estate, and Insurance at California State University, Northridge.Search for more papers by this author First published: May 1994 https://doi.org/10.1002/fut.3990140304Citations: 18 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Black, F., and Scholes, M. (1973): “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81: 637–659. Edwards, F. (1988a): “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal, 63–69. Edwards, F. (1988b): “Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures,” The Journal of Futures Markets, 8: 421–439. Gennotte, G., and Leland, H. (1990): “Market Liquidity, Hedging, and Crashes,” American Economic Review, 80: 999–1021. Grossman, S. (1988): “An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies,” Journal of Business, 61: 421–439. Harris, L. (1989): “S&P 500 Cash Stock Price Volatilities,” Journal of Finance, 44: 1155–1175. Harvey, C., and Whaley, R. (1991): “ Market Volatility Prediction and the Pricing of S&P 100 Options,” CRSP Working Paper Series 323, University of Chicago. Kuhn, B. A., Kuserk, G. J., and Locke, P. (1992): “Do Circuit Breakers Moderate Volatility? Evidence from October 1989,” Review of Futures Markets, 11: 134–175. McMillan, H. (1992): “Circuit Breakers in the S&P 500 Futures Markets: Their Effect on Volatility and Price Discovery in October 1989,” Review of Futures Markets, 11: 248–274. Stoll, H. (1988): “Index Futures, Program Trading, and Stock Market Procedures,” Trite Journal of Futures Markets, 8: 391–412. Stoll, H., and Whaley, R. (1987): “Expiration Day Effects of Index Options and Futures,” Financial Analysts Journal, 43: 16–28. Stoll, H., and Whaley, R. (1990): “Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew,” Journal of Business, 63: S165–S192. Stoll, H., and Whaley, R. (1991): “Expiration Day Effects: What Has Changed?” Financial Analysts Journal, 58: 58–72. Citing Literature Volume14, Issue3May 1994Pages 275-292 ReferencesRelatedInformation
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