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

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

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...