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Keywords: Volatility Effect
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2017) 25 (3): 451–478.
Published: 31 August 2017
..., volatility effect, and volume effect. Since the expiration day of single stock futures is on the second Thursday of each month, we analyzed whether the expiration day effects differ between expiration Thursday and non-expiration Thursday. The price reversal effect is evident in Samsung Electronics...
