Abstract

Intraday-Volatility and Expiration Day Effects on the German Stock Market

This paper is aimed at ascertaining intraday volatility trends on a daily basis. To this end, intraday volatility is measured with the help of the sampling variance of the minutely DAX-yield ascertained at 15-minute intervals. In addition, this paper analyses the influence of the expiration days of the options and DAX futures traded at the DTB (German Futures Exchange) on the spot price trends recorded at the Frankfurt Securities Exchange. On a calendar-year basis, the 1991 to 1993 intraday volatility decreased on all week-days. It is to be noted that, with 15-minute analysing intervals, the intraday volatility declined between 1991 and 1993 save two exceptional intervals. The intraday volatility recorded for the first three 15-minute analysing intervals of official trading is significantly above te intraday volatility of the remaining day. Between 12.16 and 12.30 hours - i.e. the time of the spot price determination - the volatility reaches a local maximum. At the close of official trading, the volatility rises again slightly. The expiration dates of the DAX futures result in increased volatility at the opening of trading. The increase in volatility at the close of trading caused by option due-dates is more than twice as large as the influence of the due-dates of futures contracts at the opening of trading.