The Effects of Option Expiration on NSE volume and prices

Akash Gupta (), Samik Metia and Prashant Trivedi

Finance from University Library of Munich, Germany

Abstract: This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our knowledge, this is a first such study done on the Indian market.

Keywords: option expiration; indian market; nse; abnormal trading volume; abnormal price movement; individual stock reversal; stock pinning; stock price clustering (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 G24 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2004-11-13
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 9
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411035

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