Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India

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dc.contributor.author Bhaumik, Sumon en_US
dc.contributor.author Bose, Suchismita en_US
dc.date.accessioned 2007-10-25T20:16:28Z
dc.date.available 2007-10-25T20:16:28Z
dc.date.issued 2007-03-01 en_US
dc.identifier.other RePEc:wdi:papers:2007-863 en_US
dc.identifier.uri http://hdl.handle.net/2027.42/57243 en_US
dc.description.abstract The impact of expiration of derivatives contracts on the underlying cash market ñ on trading volumes, returns and volatility of returns ñ has been studied in various contexts. We use an AR-GARCH model to analyse the impact of expiration of derivatives contracts on the cash market at the largest stock exchange in India, an important emerging capital market. Our results indicate that trading volumes were significantly higher on expiration days and during the five days leading up to expiration days (“expiration weeks”), compared with nonexpiration days (weeks). We also find significant expiration day effects on daily returns to the market index, and on the volatility of these returns. Finally, our analysis indicates that it might be prudent to undertake analysis of expiration day effects (or other events) using methodologies that model the underlying data generating process, rather than depend on comparison of mean and median alone. en_US
dc.format.extent 224638 bytes
dc.format.extent 1802 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.relation.ispartofseries 863 en_US
dc.subject Derivatives Contracts, Expiration Day Effect, India en_US
dc.subject.other G14 en_US
dc.title Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India en_US
dc.type Working Paper en_US
dc.subject.hlbsecondlevel Economics en_US
dc.subject.hlbtoplevel Business en_US
dc.contributor.affiliationum William Davidson Institute en_US
dc.description.bitstreamurl http://deepblue.lib.umich.edu/bitstream/2027.42/57243/1/wp863 .pdf en_US
dc.owningcollname William Davidson Institute (WDI) - Working Papers
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