additional volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the … expiration day effects such as price, volatility, and volume effects. With high frequency data, we find that there are strong …

English Abstract: To explain excess volatility frequently observed in asset markets, this paper suggests that the time … volatility clustering. Reflecting the realistic assumptions, this paper also extends the heterogeneous agent models, and … behavior causes excess volatility as well as volatility clustering, and plays an influential role in dynamics of asset prices …

significant relationship between the EDF calculated using bank stock prices and volatility in stock market is examined, reflecting …