Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

DOI10.1007/S10100-018-00606-9OpenAlexW2909488743WikidataQ128620649 ScholiaQ128620649MaRDI QIDQ2201299FDOQ2201299

Milena Suliga, Henryk Gurgul

Publication date: 29 September 2020

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-018-00606-9

zbMATH Keywords

futures markettick-by-tick dataexpiration-day effectsWarsaw stock exchange

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• The informational content of insider trading disclosures: empirical results for the Polish stock market
• Market efficiency of the post communist East European stock markets

Cited In (2)

• Challenges for ATM management in times of market variability caused by the COVID-19 pandemic crisi
• Intraday Trading Patterns on the Warsaw Stock Exchange

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