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En studie av lösensdagseffekt på aktiekursens volatilitet
Södertörn University College, School of Business Studies.
Södertörn University College, School of Business Studies.
2005 (Swedish)Independent thesis Advanced level (degree of Magister), 10 points / 15 hpStudent thesis
Abstract [en]

The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a stocks future movement. When volatility increases, the chance or probability of a stock going up or down increases. It’s a common rumor among stock traders that stock volatility tends to increase nearby expiration day. Trader calls it expiration day effect. Some previous studies which the authors of this thesis have studied confirms that there is a expiration day effect, some don’t.

The approach to see if there is an increase in stock volatility is by setting up hypotheses where the null hypothesis is that there is no effect on stock volatility due to option expiration and the alternative hypothesis that there is. The hypotheses were tested by a t-test for four companies listed on the Stockholm stock exchange between 1st January 2002 and 31st March 2005. The companies which were chosen for the studies were ABB, Ericsson, Skandia and Telia Sonera. Reason of choosing these particular companies were the high turnover in their options which was an requirement set up by the authors.

The results and conclusion of this thesis was that there is no expiration day effect nearby expiration day. The authors couldn’t find any increase in volatility for the chosen companies due to option expiration and therefore didn’t rejected the null hypothesis.

Place, publisher, year, edition, pages
Huddinge: Institutionen för ekonomi och företagande , 2005. , 33 p.
Keyword [en]
Business studies, stock, option, expiration, volatility
Keyword [sv]
Företagsekonomi, aktie, option, volatilitet, optionlösen, optionslösen
National Category
Business Administration
URN: urn:nbn:se:sh:diva-164OAI: diva2:15741
Available from: 2005-06-13 Created: 2005-06-13

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