{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,22]],"date-time":"2026-07-22T21:54:39Z","timestamp":1784757279875,"version":"3.55.0"},"reference-count":41,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2019,1,7]],"date-time":"2019-01-07T00:00:00Z","timestamp":1546819200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2019,1,7]],"date-time":"2019-01-07T00:00:00Z","timestamp":1546819200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Cent Eur J Oper Res"],"published-print":{"date-parts":[[2020,9]]},"DOI":"10.1007\/s10100-018-00606-9","type":"journal-article","created":{"date-parts":[[2019,1,8]],"date-time":"2019-01-08T18:50:51Z","timestamp":1546973451000},"page":"869-904","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange"],"prefix":"10.1007","volume":"28","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8599-1162","authenticated-orcid":false,"given":"Henryk","family":"Gurgul","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Milena","family":"Suliga","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2019,1,7]]},"reference":[{"issue":"11","key":"606_CR1","doi-asserted-by":"publisher","first-page":"1046","DOI":"10.1002\/fut.21632","volume":"33","author":"SK Agarwalla","year":"2013","unstructured":"Agarwalla SK, Pandey A (2013) Expiration-day effects and the impact of short trading breaks on intraday volatility: evidence from the Indian market. J Futur Mark 33(11):1046\u20131070","journal-title":"J Futur Mark"},{"issue":"6","key":"606_CR2","doi-asserted-by":"publisher","first-page":"385","DOI":"10.1080\/09603100410001673612","volume":"14","author":"P Alkeb\u00e4ck","year":"2004","unstructured":"Alkeb\u00e4ck P, Hagelin N (2004) Expiration day effects of index futures and options: evidence from a market with a long settlement period. Appl Financ Econ 14(6):385\u2013396","journal-title":"Appl Financ Econ"},{"key":"606_CR3","doi-asserted-by":"publisher","first-page":"453","DOI":"10.1016\/S0927-538X(99)00022-0","volume":"7","author":"NPB Bollen","year":"1999","unstructured":"Bollen NPB, Whaley RE (1999) Do expiration of Hang Seng Index derivatives affect stock market volatility? Pac Basin Finance J 7:453\u2013470","journal-title":"Pac Basin Finance J"},{"issue":"5","key":"606_CR4","doi-asserted-by":"publisher","first-page":"67","DOI":"10.2469\/faj.v45.n5.67","volume":"45","author":"TW Chamberlain","year":"1989","unstructured":"Chamberlain TW, Cheung SC, Kwan CCY (1989) Expiration-day effects of index futures and options: some Canadian evidence. Financ Anal J 45(5):67\u201371","journal-title":"Financ Anal J"},{"issue":"10","key":"606_CR001","doi-asserted-by":"publisher","first-page":"891","DOI":"10.1002\/fut.21574","volume":"33","author":"JB Chay","year":"2013","unstructured":"Chay JB, Kim S, Ryu H (2013) Can the indicative price system mitigate expiration-day effects? J Futur Mark 33(10):891\u2013910","journal-title":"J Futur Mark"},{"key":"606_CR5","doi-asserted-by":"publisher","first-page":"275","DOI":"10.1002\/fut.3990140304","volume":"14","author":"C Chen","year":"1994","unstructured":"Chen C, Williams J (1994) Triple-witching hour, the change in expiration timing, and stock market reaction. J Futur Mark 14:275\u2013292","journal-title":"J Futur Mark"},{"key":"606_CR6","doi-asserted-by":"publisher","first-page":"67","DOI":"10.1002\/fut.10054","volume":"23","author":"Y Chow","year":"2003","unstructured":"Chow Y, Yung H, Zhang H (2003) Expiration day effects: the case of Hong Kong. J Futur Mark 23:67\u201386","journal-title":"J Futur Mark"},{"key":"606_CR7","doi-asserted-by":"publisher","first-page":"441","DOI":"10.1007\/s11156-012-0314-z","volume":"41","author":"EH Chow","year":"2013","unstructured":"Chow EH, Hung C, Liu CS, Shiu C (2013) Expiration day effects and market manipulation: evidence from Taiwan. Rev of Quant Finance Acc 41:441\u2013462","journal-title":"Rev of Quant Finance Acc"},{"key":"606_CR8","doi-asserted-by":"publisher","first-page":"905","DOI":"10.1002\/fut.2002","volume":"21","author":"P Corredor","year":"2001","unstructured":"Corredor P, Lech\u00f3n P, Santamar\u00eda R (2001) Option-expiration effects in small markets: the Spanish stock exchange. J Futur Mark 21:905\u2013928","journal-title":"J Futur Mark"},{"key":"606_CR9","doi-asserted-by":"publisher","first-page":"103","DOI":"10.1016\/0304-405X(88)90024-4","volume":"22","author":"TE Day","year":"1988","unstructured":"Day TE, Lewis CM (1988) The behaviour of the volatility implicit in the prices of stock index options. J Financ Econ 22:103\u2013122","journal-title":"J Financ Econ"},{"key":"606_CR10","doi-asserted-by":"publisher","first-page":"9","DOI":"10.22610\/jebs.v1i1.210","volume":"1","author":"SS Debasish","year":"2010","unstructured":"Debasish SS (2010) Investigating expiration day effects in stock index futures in India. J Econ Behav Stud 1:9\u201319","journal-title":"J Econ Behav Stud"},{"key":"606_CR11","first-page":"1","volume":"7","author":"F Diz","year":"1998","unstructured":"Diz F, Finucane TJ (1998) Index option expirations and market volatility. J Financ Eng 7:1\u201323","journal-title":"J Financ Eng"},{"issue":"2","key":"606_CR12","doi-asserted-by":"publisher","first-page":"307","DOI":"10.1007\/s10100-013-0315-6","volume":"22","author":"V Drogota","year":"2014","unstructured":"Drogota V, Tilica VC (2014) Market efficiency of the post-communist east European stock markets. Cent Eur J Oper Res 22(2):307\u2013337","journal-title":"Cent Eur J Oper Res"},{"issue":"5","key":"606_CR13","first-page":"2","volume":"73","author":"SP Feinstein","year":"1988","unstructured":"Feinstein SP, Goetzmann WN (1988) The effect of the \u201ctriple witching hour\u201d on stock market volatility. Econ Rev Fed Bank Atlanta 73(5):2\u201318","journal-title":"Econ Rev Fed Bank Atlanta"},{"key":"606_CR14","doi-asserted-by":"publisher","first-page":"430","DOI":"10.1002\/fut.20364","volume":"29","author":"JKW Fung","year":"2009","unstructured":"Fung JKW, Jung HHM (2009) Expiration-day effects\u2014an Asian twist. J Futur Mark 29:430\u2013450","journal-title":"J Futur Mark"},{"issue":"1","key":"606_CR15","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1007\/s10100-006-0016-5","volume":"15","author":"H Gurgul","year":"2007","unstructured":"Gurgul H, Majdosz P (2007) The informational content of insider trading disclosures: empirical results for the Polish stock market. Cent Eur J Oper Res 15(1):1\u201319","journal-title":"Cent Eur J Oper Res"},{"issue":"3","key":"606_CR16","doi-asserted-by":"publisher","first-page":"66","DOI":"10.2469\/faj.v49.n3.66","volume":"49","author":"GD Hancock","year":"1993","unstructured":"Hancock GD (1993) Whatever happened to the triple witching hour? Financ Anal J 49(3):66\u201372","journal-title":"Financ Anal J"},{"issue":"3","key":"606_CR17","doi-asserted-by":"publisher","first-page":"323","DOI":"10.1002\/fut.3990100309","volume":"10","author":"AF Herbst","year":"1990","unstructured":"Herbst AF, Maberly ED (1990) Stock index futures, expiration day volatility, and the \u201cSpecial\u201d friday opening: a note. J Futur Mark 10(3):323\u2013325","journal-title":"J Futur Mark"},{"issue":"10","key":"606_CR18","doi-asserted-by":"publisher","first-page":"920","DOI":"10.1002\/fut.20391","volume":"29","author":"WG Hsieh","year":"2009","unstructured":"Hsieh WG (2009) Expiration-day effects on individual stocks and the overall market: evidence from Taiwan. J Futur Mark 29(10):920\u2013945","journal-title":"J Futur Mark"},{"key":"606_CR19","doi-asserted-by":"publisher","first-page":"290","DOI":"10.1016\/j.iref.2007.05.010","volume":"18","author":"WG Hsieh","year":"2009","unstructured":"Hsieh WG, Ma T (2009) Expiration-day effects: does settlement price matter? Int Rev Econ Finance 18:290\u2013300","journal-title":"Int Rev Econ Finance"},{"key":"606_CR20","doi-asserted-by":"publisher","first-page":"923","DOI":"10.1002\/fut.20220","volume":"26","author":"M Illueca","year":"2006","unstructured":"Illueca M, Lafuente J\u00c1 (2006) New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish stock exchange. J Futur Mark 26:923\u2013938","journal-title":"J Futur Mark"},{"issue":"2","key":"606_CR21","doi-asserted-by":"publisher","first-page":"23","DOI":"10.3905\/jod.1996.407969","volume":"4","author":"GA Karolyi","year":"1996","unstructured":"Karolyi GA (1996) Stock market volatility around expiration days in Japan. J Deriv 4(2):23\u201343","journal-title":"J Deriv"},{"key":"606_CR22","doi-asserted-by":"publisher","first-page":"953","DOI":"10.1016\/j.jempfin.2011.08.003","volume":"18","author":"J Kolari","year":"2001","unstructured":"Kolari J, Pynn\u00f6nen S (2001) Nonparametric rank tests for event studies. J Empir Finance 18:953\u2013971","journal-title":"J Empir Finance"},{"key":"606_CR23","doi-asserted-by":"publisher","first-page":"730","DOI":"10.1016\/j.qref.2004.06.002","volume":"45","author":"D Lien","year":"2005","unstructured":"Lien D, Yang L (2005) Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data. Q Rev Econ Finance 45:730\u2013747","journal-title":"Q Rev Econ Finance"},{"issue":"1","key":"606_CR24","doi-asserted-by":"publisher","first-page":"10","DOI":"10.1177\/0972622516629029","volume":"15","author":"R Mahalwala","year":"2016","unstructured":"Mahalwala R (2016) A study of expiration-day effects of index derivatives trading in India. Metamorphosis J Manag Res 15(1):10\u201319","journal-title":"Metamorphosis J Manag Res"},{"issue":"2","key":"606_CR25","first-page":"403","volume":"2","author":"H Morawska","year":"2004","unstructured":"Morawska H (2004) Wp\u0142yw efektu trzech wied\u017am na okresowe kszta\u0142towanie si\u0119 cen instrumentu bazowego. Zeszyty Naukowe Uniwersytetu Szczeci\u0144skiego. Finanse. Rynki finansowe. Ubezpieczenia 2(2):403\u2013416","journal-title":"Zeszyty Naukowe Uniwersytetu Szczeci\u0144skiego. Finanse. Rynki finansowe. Ubezpieczenia"},{"key":"606_CR26","volume-title":"Inwestycje Finansowe","author":"H Morawska","year":"2007","unstructured":"Morawska H (2007) Wp\u0142yw dnia wyga\u015bni\u0119cia indeksowych kontrakt\u00f3w terminowych i opcji na rynek kasowy GPW w Warszawie SA. In: Gabryelczyk K, Ziarko-Siwek U (eds) Inwestycje Finansowe. CeDeWu, Warszawa"},{"issue":"3","key":"606_CR27","doi-asserted-by":"publisher","first-page":"595","DOI":"10.1007\/s10100-014-0360-9","volume":"24","author":"M Murg","year":"2016","unstructured":"Murg M, Pachler M, Zeitlberger ACM (2016) The impact of analyst recommendations on stock prices in Austria (2000\u20132014): evidence from a small and thinly traded market. Cent Eur J Oper Res 24(3):595\u2013616","journal-title":"Cent Eur J Oper Res"},{"key":"606_CR28","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1155\/2013\/718538","volume":"2013","author":"S Narang","year":"2013","unstructured":"Narang S, Vij M (2013) Long-term effects of expiration of derivatives on Indian spot volatility. ISRN Econ 2013:1\u20136","journal-title":"ISRN Econ"},{"key":"606_CR29","doi-asserted-by":"publisher","first-page":"329","DOI":"10.1111\/j.1468-5957.1992.tb00628.x","volume":"19","author":"PF Pope","year":"1992","unstructured":"Pope PF, Yadav PK (1992) The impact of option expiration on underlying stocks: the UK evidence. J Bus Finance Acc 19:329\u2013344","journal-title":"J Bus Finance Acc"},{"issue":"1","key":"606_CR30","doi-asserted-by":"publisher","first-page":"69","DOI":"10.1111\/j.1468-036X.1996.tb00029.x","volume":"2","author":"C Schlag","year":"1996","unstructured":"Schlag C (1996) Expiration day effects of stock index derivatives in Germany. Eur Financ Manag 2(1):69\u201395","journal-title":"Eur Financ Manag"},{"key":"606_CR31","volume-title":"Expiration day effects of index options and futures. Monograph series in finance and Econ, monograph 1986-3","author":"HR Stoll","year":"1986","unstructured":"Stoll HR, Whaley RE (1986) Expiration day effects of index options and futures. Monograph series in finance and Econ, monograph 1986-3. New York University, New York"},{"issue":"2","key":"606_CR32","doi-asserted-by":"publisher","first-page":"16","DOI":"10.2469\/faj.v43.n2.16","volume":"43","author":"HR Stoll","year":"1987","unstructured":"Stoll HR, Whaley RE (1987) Program trading and expiration-day effects. Financ Anal J 43(2):16\u201328","journal-title":"Financ Anal J"},{"issue":"1","key":"606_CR33","doi-asserted-by":"publisher","first-page":"165","DOI":"10.1086\/296499","volume":"63","author":"HR Stoll","year":"1990","unstructured":"Stoll HR, Whaley RE (1990) Program trading and individual stock returns: ingredients of the triple-witching brew. J Bus 63(1):165\u2013192","journal-title":"J Bus"},{"issue":"1","key":"606_CR34","doi-asserted-by":"publisher","first-page":"58","DOI":"10.2469\/faj.v47.n1.58","volume":"47","author":"HR Stoll","year":"1991","unstructured":"Stoll HR, Whaley RE (1991) Expiration-day effects: what has changed? Financ Anal J 47(1):58\u201372","journal-title":"Financ Anal J"},{"issue":"22","key":"606_CR35","doi-asserted-by":"publisher","first-page":"139","DOI":"10.1177\/031289629702200202","volume":"22","author":"HR Stoll","year":"1997","unstructured":"Stoll HR, Whaley RE (1997) Expiration-day effects of the all ordinaries share price index futures: empirical evidence and alternative settlement procedures. Aus J Manag 22(22):139\u2013174","journal-title":"Aus J Manag"},{"issue":"2","key":"606_CR36","first-page":"201","volume":"18","author":"M Suliga","year":"2017","unstructured":"Suliga M (2017) Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock exchange. Manag Econ 18(2):201\u2013225","journal-title":"Manag Econ"},{"key":"606_CR37","unstructured":"Suliga M, W\u00f3jtowicz T (2019) Expiration-day effects of stock and index futures on the Warsaw Stock\nExchange. Bank Credit (accepted)"},{"issue":"4","key":"606_CR38","first-page":"209","volume":"6","author":"N Tripathy","year":"2010","unstructured":"Tripathy N (2010) Expiration and week effect: empirical evidence from the indian derivative market. Int Rev Bus Res Pap 6(4):209\u2013219","journal-title":"Int Rev Bus Res Pap"},{"issue":"11","key":"606_CR39","doi-asserted-by":"publisher","first-page":"1045","DOI":"10.1002\/fut.20178","volume":"25","author":"V Vipul","year":"2005","unstructured":"Vipul V (2005) Futures and options expiration-day effects: the Indian evidence. J Futur Mark 25(11):1045\u20131065","journal-title":"J Futur Mark"},{"issue":"9","key":"606_CR40","doi-asserted-by":"publisher","first-page":"868","DOI":"10.1002\/fut.21620","volume":"34","author":"C Xu","year":"2014","unstructured":"Xu C (2014) Expiration-day effects of stock and index futures and options in Sweden: the return of the witches. J Futur Mark 34(9):868\u2013882","journal-title":"J Futur Mark"}],"container-title":["Central European Journal of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10100-018-00606-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10100-018-00606-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10100-018-00606-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,7,19]],"date-time":"2020-07-19T08:07:56Z","timestamp":1595146076000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10100-018-00606-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,1,7]]},"references-count":41,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2020,9]]}},"alternative-id":["606"],"URL":"https:\/\/doi.org\/10.1007\/s10100-018-00606-9","relation":{},"ISSN":["1435-246X","1613-9178"],"issn-type":[{"value":"1435-246X","type":"print"},{"value":"1613-9178","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,1,7]]},"assertion":[{"value":"7 January 2019","order":1,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}