Expiration day effect on the Nifty Futures volume and price: an empirical evidence

K.S. Suryanarayana, V.S. Prasad Kandi and Ashok Botta

International Journal of Intelligent Enterprise, 2024, vol. 11, issue 4, 375-395

Abstract: The research article delves into the impact of expiration day on Nifty Futures trading volume and prices. This comprehensive study spans from January 2021 to January 2023, employing the EGARCH framework alongside various diagnostic tests such as the Augmented Dickey-Fuller (ADF) test, ARCH test, normality test, and serial correlation test for data analysis. The findings of this investigation illuminate the profound influence of expiration day on market dynamics. Expiration day introduces an element of uncertainty and heightened volatility into the market, thereby stimulating increased trading activity and consequential price fluctuations in Nifty Futures. Notably, traders exhibit a distinct tendency to adjust their positions based on their market sentiment and outlook, further contributing to the fluctuations in Nifty Futures prices. This study underscores the significance of considering expiration day's influence on the Nifty Futures market. Traders and investors are urged to recognise and account for the unique dynamics surrounding expiration day when making judgments and decisions. A thorough understanding of these effects can empower market participants to navigate the Nifty Futures market more effectively and make informed choices in response to the dynamic shifts triggered by expiration day events.

Keywords: expiration day; Nifty Futures; EGARCH; stationarity check; turnover; Augmented Dickey-Fuller; ADF; Indian National Stock Exchange; opportunities for profit. (search for similar items in EconPapers)
Date: 2024
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