The Effects of Option Expiration on NSE volume and prices
AbstractThis 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.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0411035.
Length: 9 pages
Date of creation: 13 Nov 2004
Date of revision:
Note: Type of Document - pdf; pages: 9
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option expiration; indian market; nse; abnormal trading volume; abnormal price movement; individual stock reversal; stock pinning; stock price clustering;
Find related papers by 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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