Stoll and Whaley (1987,1991)concluded that expiration-day volatility was a result of program trades because

Question

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Stoll and Whaley concluded that expiration-day volatility was a result of program trades because they found that large price swings tended to be reversed on the day following contract expiration. This suggests that the price movements were not driven by fundamental factors, but rather by market forces related to the expiration of derivatives contracts, which tend to trigger program trades. Therefore, choices A and B are not directly related to the authors' conclusion, and choice D is a broader statement that does not focus on the specific reason why program trades may have caused expiration-day volatility. Choice E is incorrect because the authors did provide evidence to support their conclusion.

Stoll and Whaley (1987,1991)concluded That Expiration-Day Volatility Was a Result