Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of unde...
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2024-04-01
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| Series: | Managerial Economics |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/5970 |
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