Expiration Effects of Stock Futures on the Price and Volume of Underlying Stocks: Evidence from India

Anver Sadath and Bandi Kamaiah

The IUP Journal of Applied Economics, 2011, vol. X, issue 3, 25-38

Abstract: The National Stock Exchange (NSE) of India was ranked the first in terms of trading of individual stock futures in the year 2007. Financial derivatives like stock futures have always been accused of causing instability in the spot market. This paper investigates the effects of individual stock futures expiration on the underlying stock market in the NSE. Using daily data of 42 sample stocks of high market capitalization, this study has found positive abnormal return and also abnormal volume on days prior to the expiration day.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:10:y:2011:i:3:p:25-38

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