Expiration Effects of Stock Futures on the Price and Volume of Underlying Stocks: Evidence from India

The IUP Journal of Applied Economics, Vol. X, No. 3, pp. 25-38, July 2011

Posted: 17 May 2012

See all articles by Anver Sadat

Anver Sadat

Central University of Kerala; University of Hyderabad

B. Kamaiah

Independent

Date Written: May 17, 2012

Abstract

The National Stock Exchange (NSE) of India was ranked the first in terms of trading of individual stock futures in the year 2007. Financial derivatives like stock futures have always been accused of causing instability in the spot market. This paper investigates the effects of individual stock futures expiration on the underlying stock market in the NSE. Using daily data of 42 sample stocks of high market capitalization, this study has found positive abnormal return and also abnormal volume on days prior to the expiration day.

Suggested Citation

Sadat, Anver and Sadat, Anver and Kamaiah, B., Expiration Effects of Stock Futures on the Price and Volume of Underlying Stocks: Evidence from India (May 17, 2012). The IUP Journal of Applied Economics, Vol. X, No. 3, pp. 25-38, July 2011, Available at SSRN: https://ssrn.com/abstract=2061479

Anver Sadat (Contact Author)

Central University of Kerala

Central University of Kerala, Tejaswini Hills Camp
Kasaragod, KS Kerala State 671316
India

University of Hyderabad ( email )

Central University (PO)
Andhra Pradesh
Hyderabad, CA Andhra Pradesh 500 046
India

B. Kamaiah

Independent ( email )

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