Stats › Marchés mondiaux et places boursières › Expiry day effects
Expiry day volume triples in the last hour, and index futures show no price reversal at all
| Measure on expiry day | Effect | Test statistic |
|---|---|---|
| Abnormal log turnover, before the last hour | 0.106 | 0.92, not significant |
| Abnormal log turnover, last hour | 1.123 | 8.00 |
| Abnormal log turnover, close and overtime | 2.440 | 7.50 |
| Abnormal five minute volatility, first measure | 0.018 | 0.74, not significant |
| Abnormal five minute volatility, second measure | 0.051 | 3.64 |
| Abnormal absolute close return | 0.384 | 8.52 |
| Price reversal | 0.075% | 0.23, not significant |
| Price shock | 0.584% | 4.08 |
Expiry day effects on the underlying shares, Warsaw Stock Exchange, 1 January 2018 to 31 December 2020. Twelve quarterly expirations, 397 stock-expiration events, tick data on five minute intervals, tested against control days with a generalised rank test. Volume and volatility move sharply and prices do not reverse.
On the Warsaw exchange, index futures expiries produce no significant price reversal on any measure while single stock futures expiries do. The index contracts settle to a trimmed average over the last hour, and nothing equivalent has been measured for the European benchmark contracts.
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