Table 1: Descriptive statistics of expiration and nonexpiration periods.

Expiry dayNext dayNonexpiry day

Mean0.00330.00340.0010
Std. Dev.0.01320.01660.0094
Skewness−0.2523−0.44750.4988
Kurtosis4.59473.97117.9259
Jarque Bera14.11***8.72**255.75***
No. of Obs. 127126126

**indicates significance at 5%.
***indicates that values are significant at 1%.