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

DOI10.1007/S10100-018-00606-9MaRDI QIDQ2201299zbMATH OpenOpenAlexWikidataFDO

Authors Henryk Gurgul, Milena Suliga

Publication date 29 September 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

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

Cited in

(2)

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

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