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A Study on Expiration Effects of Stock Future on Price and Volume of Underlying Stocks with Reference to Indian Capital Market


Affiliations
1 Assistant Professor, Vivekanand College for BBA, Jahangir Pura, Surat, India
2 Professor and Director of School of Commerce & Management, Dr. Babasaheb Ambedkar Open University, Ahmedabad, India
     

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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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  • A Study on Expiration Effects of Stock Future on Price and Volume of Underlying Stocks with Reference to Indian Capital Market

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Authors

Hetalgiri Kishorgiri Mehta
Assistant Professor, Vivekanand College for BBA, Jahangir Pura, Surat, India
Manoj D. Shah
Professor and Director of School of Commerce & Management, Dr. Babasaheb Ambedkar Open University, Ahmedabad, India

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.