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The Effects of Option Expiration on NSE volume and prices

Author

Listed:
  • Akash Gupta
  • Samik Metia
  • Prashant Trivedi

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.

Suggested Citation

  • Akash Gupta & Samik Metia & Prashant Trivedi, 2004. "The Effects of Option Expiration on NSE volume and prices," Finance 0411035, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0411035
    Note: Type of Document - pdf; pages: 9
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0411/0411035.pdf
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    Cited by:

    1. Vladimir Markov & Olga Vilenskaia & Vlad Rashkovich, 2019. "Quintet Volume Projection," Papers 1904.01412, arXiv.org.

    More about this item

    Keywords

    option expiration; indian market; nse; abnormal trading volume; abnormal price movement; individual stock reversal; stock pinning; stock price clustering;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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