A Study of Expiration-day Effects of Index Derivatives Trading in India

Rachna Mahalwala

Metamorphosis: A Journal of Management Research, 2016, vol. 15, issue 1, 10-19

Abstract: This study examines the existence of expiration-day effects of index derivatives trading in India through volume, return, volatility, and price reversal characteristics of underlying stock market during expiration days of these contracts. Expiration-day effects can be a result of a mixture of factors, including the presence of arbitrage opportunities, the cash settlement nature of index derivative contracts, the stock market process for accommodating the unwinding of arbitrage positions in the stocks, and the efforts to wittingly manipulate prices. Using daily price and turnover data of CNX Nifty and employing time series “ARMA model with EGARCH errors,†the results of the study indicated the presence of some significant but non-disastrous expiration-day effects in India.

Keywords: Index derivatives; expiration day; price reversal; volatility; heteroscedasticity; arbitrageurs (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972622516629029 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:metjou:v:15:y:2016:i:1:p:10-19

DOI: 10.1177/0972622516629029

Access Statistics for this article

More articles in Metamorphosis: A Journal of Management Research
Bibliographic data for series maintained by SAGE Publications ().