The Effects of Option Expiration on NSE volume and prices

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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Year of publication:	2004-11-13
Authors:	Gupta, Akash ; Metia, Samik ; Trivedi, Prashant
Institutions:	EconWPA
Subject:	option expiration \| indian market \| nse \| abnormal trading volume \| abnormal price movement \| individual stock reversal \| stock pinning \| stock price clustering

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 9 9 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G24 - Investment Banking; Venture Capital; Brokerage
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134925