Witching days and abnormal profits in the us stock market

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by usi...

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Bibliographic Details
Published in:Cogent economics & finance 2023-12, Vol.11 (1), p.1-12
Main Authors: Caporale, Guglielmo Maria, Plastun, Alex
Format: Article
Language:English
Subjects:
Abnormal Returns
Anomalies
Efficient markets
Futures
G12
Hypotheses
Indexes
International finance
Prices
Profits
Securities markets
Simulation
Stock exchanges
Stock Markets
Students
Trading
Variance analysis
Volatility
Witching Days
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