Expiration-day effects-An Asian twist

Joseph K W FUNG*, Haynes H.M. Yung

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    11 Citations (Scopus)


    This study examines 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 price, an 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 both found to be higher than normal. Most important, trading intensifies in terms of volume and frequency close to the five-minute time marks. The study does not find significant price reversal and price compression patterns. Although significant order imbalance pattern is found on some expiration days, the results show no association between order imbalance pattern and the next-day return.

    Original languageEnglish
    Pages (from-to)430-450
    Number of pages21
    JournalJournal of Futures Markets
    Issue number5
    Publication statusPublished - May 2009

    Scopus Subject Areas

    • Accounting
    • Business, Management and Accounting(all)
    • Finance
    • Economics and Econometrics


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