期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2003
卷号：2
期号：4
语种：English
出版社：The Clute Institute for Academic Research
摘要：The importance of derivative financial instruments is reflected in the steady growth observed in their trading volumes at the worldwide level, from the moment they were first created at the end of the 20thCentury. In this framework, and considering the high grade of correlation among the different sectors of the asset market, we will analyze like it affects the expiration-effect of derivative instruments from the selective ibex-35 spanish index to the rest indexes of the market. To do so, we consider the different segments of the Spanish stock market, as represented by their general and sector indexes with daily data and we verify whether the stock market indexes show returns, volatility and trading volumes on the expiration dates of the derivatives that are significantly different from those observed on the rest of the days of the period. Our analyses indicate that the models of the expiration effect are indeed different among segments, verifying, in general, that this effect only appears in the volume and the returns. With such a focus, the investor could foresee an optimal strategy to make profits and minimize his risk on the stock prices.
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