A NOTE ON THE EXPIRATION DAY PRICE EFFECT IN THE AUSTRALIAN 90 DAY BANK ACCEPTED BILLS MARKET

This paper investigates the impact on the price volatility of Australian 90 day Bank Accepted Bills (BABs) when the futures contracts written on BABs expire. Using the absolute value of log price changes as a measure of volatility, and appropriate non‐parametric tests, the analysis does not detect any expiration day price effect, nor reversal in volatility between expiration Fridays and the following Mondays for the period 1 November 1979 to 1 November 1993. These findings are consistent with the results of those overseas studies which do not find evidence for expiration day effects.