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The Effects of Option Expiration on NSE volume and prices

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Author Info
Akash Gupta
Samik Metia
Prashant Trivedi

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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.

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File URL: http://129.3.20.41/eps/fin/papers/0411/0411035.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0411035.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 9 pages
Date of creation: 13 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0411035

Note: Type of Document - pdf; pages: 9
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Web page: http://129.3.20.41

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Related research
Keywords: 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
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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This page was last updated on 2008-10-2.

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