In short, the market is maiseficiente the more sovereign will be the law of offers and demand. Hiram Emory Widener Jr.: the source for more info. However, the specialized media and studies of analistasapontam for an eventual distortion of the normal behavior of the prices dasaes in the market the sight, in function of occured manipulations in eventosespeciais, as the expiration of the contract series of options. To follow some studies are presented that had used dadosintradirios. For a detailed article description more on the subject, it suggests-sea reading of Wedge and Coast Jr (2006) and of Sanvicente and Monteiro (2005). Stoll and Whaley (1987), had evidenced that avolatilidade and the negotiated volume of the S& index; P500 the sight if raised naltima hour of the days of simultaneous expiration of the S& index; Future P500 and doscontratos of options on the S& index; P100. They had analyzed eight days simultaneous and not simultaneous devencimento of these contracts throughout 1984 e1985.
Kan (2001) verifies the existence of efeitodia-of-expiration of the index Hang future Sang on the index the sight, in the Bolsade Values of Hong Kong, during the period of March of 1989 the December of 1992.Conclui for the inexistence of the effect, as much throughout all the day, as we nosltimos previous minutes to the closing. Gupta, Put, and Trivedi (2003), in work focandoa Stock exchange of high-frequency India and also using given, arrives at the conclusion of that they could not affirm, although to be about ummercado new, that the effect would exist there day-of-expiration. Sanvicente and Monteiro (2005) had studied the efeitodia-of-expiration through a method where inverse functions use a system of equations formadopelas of offer and of the demand of the actions of the Telemar. Constatarama existence of the effect during the analyzed day (14 of December of 2001). 3. APPLICATION OF the MODEL As the objective of this work is to verify the existnciado effect day-of-expiration and to compare the results with those gotten porSanvicente and Hunter (2005), this study it applies the developed model porestes last authors in a distinct event, occurrence in February of 2004.