search query: @author Kwan, C. C. Y. / total: 4
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| Author: | Chamberlain, T. W. Cheung, C. S. Kwan, C. C. Y. |
| Title: | Expiration-day effects of index futures and options: some Canadian evidence |
| Journal: | Financial Analysts' Journal
1989 : SEP/OCT, VOL. 45:5, p. 67-71 |
| Index terms: | CANADA INDEX-LINKED SECURITIES OPTIONS |
| Language: | eng |
| Abstract: | An examination of the expiration-day volume and price behaviour of the Toronto Stock Exchange, related to the impact on index futures and options. The data and period covered by study. Expiration-day volume effects, and price effects. Predicting expiration-day price effects. Arbitrage opportunities. Five Tables illustrate the study, covering daily trading volume; rate of return; mean reversals; test of the hypothesis related to expiration of options and futures; and mispricing. |
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