Volatility, expiration day effect and pricing
efficiency: evidence from the Kuala Lumpur
composite index futures

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Volatility, expiration day effect and pricing efficiency: evidence from the Kuala Lumpur composite index futures

A study was conducted on issues related to the introduction and trading of Kuala Lumpur Composite Index futures contract in Malaysia. Issues related to volatility, expiration day effect and pricing efficiency were examined. The test (using Levene test) indicated that a decrease in volatility was...

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Bibliographic Details
Main Authors:	Fauzias Mat Nor, Tea, Lee Choo
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2002
Online Access:	http://journalarticle.ukm.my/2482/ http://journalarticle.ukm.my/2482/1/JP21-02.pdf

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