A Study on Expiration Effects of Stock Future on Price and Volume of Underlying Stocks with Reference to Indian Capital Market
Published: 2020
Author(s) Name: Hetalgiri Kishorgiri Mehta and Manoj D. Shah |
Author(s) Affiliation: Assistant Professor, Vivekanand College for BBA, Surat, Gujarat, India.
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Abstract
India is one of the fastest developing economy with having International Stock
Exchanges like NSE and BSE. The Stock Futures have been seen as a factor
causing instability in Spot market. The paper is an effort to investigate the effects
of Individual Stock futures expiration effect on underlying Stocks of 19 different
sectors listed on NSE based on their Price and Volume analysis. By using daily
data of 131 stocks (Out of 139 Stock of Future) based on data availability and
stocks working in F&O segment we have found overall negative effect of stock
futures on price and volume pre and post the expiration day.
Keywords: Event Study Approach, Price and Volume analysis, Stock Futures
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