"Expiration hour effect of futures and options markets on stock market" -- A case study on NSE (National Stock Exchange of India)
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- G. D. Hancock, 1991. "Futures option expirations and volatility in the stock index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 319-330, June.
- Christian Schlag, 1996. "Expiration day effects of stock index derivatives in Germany," European Financial Management, European Financial Management Association, vol. 2(1), pages 69-95, March.
- Engle, Robert F & Ng, Victor K, 1993.
"Measuring and Testing the Impact of News on Volatility,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Chao Chen & James Williams, 1994. "Triple‐witching hour, the change in expiration timing, and stock market reaction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(3), pages 275-292, May.
- Hans R. Stoll & Robert E. Whaley, 1997. "Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures," Australian Journal of Management, Australian School of Business, vol. 22(2), pages 139-174, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cotter, John & Dowd, Kevin, 2010.
"Intra-day seasonality in foreign exchange market transactions,"
International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
- Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
- john cotter & kevin dowd, 2011. "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers 1103.5664, arXiv.org.
- Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14, July-Dece.
- Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.
- Rachna Mahalwala, 2016. "A Study of Expiration-day Effects of Index Derivatives Trading in India," Metamorphosis: A Journal of Management Research, , vol. 15(1), pages 10-19, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Milena Suliga, 2017. "Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 201-225.
- Goncalves, Silvia & Kilian, Lutz, 2004.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
- Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank.
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank.
- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques.
- Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Silvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Dimitrakopoulos, Dimitris N. & Kavussanos, Manolis G. & Spyrou, Spyros I., 2010. "Value at risk models for volatile emerging markets equity portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 515-526, November.
- P. Kearns & A.R. Pagan, 1993.
"Australian Stock Market Volatility: 1875–1987,"
The Economic Record, The Economic Society of Australia, vol. 69(2), pages 163-178, June.
- Pagan, A.R. & Kearns, P., 1990. "Ustralian Stock Market Volatility: 1875-1987," RCER Working Papers 248, University of Rochester - Center for Economic Research (RCER).
- Dimitrakopoulos, Stefanos & Tsionas, Mike, 2019. "Ordinal-response GARCH models for transaction data: A forecasting exercise," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1273-1287.
- Charles, Amélie, 2010.
"The day-of-the-week effects on the volatility: The role of the asymmetry,"
European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
- Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
- Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010.
"Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model,"
Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
- Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, Department of Economics and Business Economics, Aarhus University.
- Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009. "Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model," Working Paper 1207, Economics Department, Queen's University.
- Theodore Panagiotidis, 2010.
"Market efficiency and the Euro: the case of the Athens stock exchange,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(3), pages 237-251, July.
- Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
- Theodore Panagiotidis, 2008. "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series 2008_14, Department of Economics, University of Macedonia, revised Dec 2008.
- Theodore Panagiotidis, 2005. "Market Efficiency and the Euro: The case of the Athens Stock Exchange," Finance 0507022, University Library of Munich, Germany.
- Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
- Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
- Lars Stentoft, 2008.
"American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
- Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
- Don U. A. Galagedera & Robert Faff, 2005.
"Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 75-95.
- Don U.A. Galagedera & Robert Faff, 2004. "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers 8/04, Monash University, Department of Econometrics and Business Statistics.
- Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
- Ender Su & John Bilson, 2011. "Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3891-3905.
- Bernard Njindan Iyke & Sin‐Yu Ho, 2020.
"Consumption and exchange rate uncertainty: Evidence from selected Asian countries,"
The World Economy, Wiley Blackwell, vol. 43(9), pages 2437-2462, September.
- Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Consumption and Exchange Rate Uncertainty: Evidence from Selected Asian Countries," MPRA Paper 80096, University Library of Munich, Germany.
- Catania, Leopoldo & Proietti, Tommaso, 2020.
"Forecasting volatility with time-varying leverage and volatility of volatility effects,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- Resende, Paulo Angelo Alves & Dorea, Chang Chung Yu, 2016. "Model identification using the Efficient Determination Criterion," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 229-244.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Parameterizing Unconditional Skewness in Models for Financial Time Series,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, Department of Economics and Business Economics, Aarhus University.
- CARPANTIER, Jean - François, 2010.
"Commodities inventory effect,"
LIDAM Discussion Papers CORE
2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," DEM Discussion Paper Series 13-07, Department of Economics at the University of Luxembourg.
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," Working Papers hal-01821144, HAL.
- Jean-Francois Carpantier, 2010. "Commodities inventory effect," Working Papers hal-01821158, HAL.
- Hafner, Christian M. & Herwartz, Helmut, 1999. "Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications," SFB 373 Discussion Papers 1999,22, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
More about this item
Keywords
Futures markets GARCH CNX nifty Expiration etc.;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:18:y:2009:i:3:p:381-391. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.