The aim of this paper is to contribute to the explanation of the herding effect through the relationship between the spot and derivatives markets. This paper analyses the intensity of herding in the spot market at crucial dates in the derivatives market (i.e. expiration dates). We use the herding measure proposed by Patterson and Sharma (2006). The period under study extends from 1997 to 2003, which allows us to assess some important aspects such as the development of the Spanish derivatives market or the coexistence of options and futures contracts. The results indicate that investors exhibit an increased herding behaviour at the expiration date, particularly in the second half of the period analyzed, when a higher degree of market development is assumed.

Key words: Herding effect, derivatives market, expiration date.
JEL classification: G14, G11, G12.