Download This PaperThe Effects of Option Expiration on Nse Volume and Prices
9 Pages Posted: 17 Nov 2004
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
JEL Classification: G12, G13, G14, G24
Suggested Citation: Suggested Citation
Gupta, Akash and Metia, Samik and Trivedi, Prashant, The Effects of Option Expiration on Nse Volume and Prices. Available at SSRN: https://ssrn.com/abstract=619701 or http://dx.doi.org/10.2139/ssrn.619701
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