The Effects of Option Expiration on Nse Volume and Prices

9 Pages Posted: 17 Nov 2004

See all articles by Akash Gupta

Akash Gupta

Oklahoma State University - Stillwater

Samik Metia

Indian School of Business

Prashant Trivedi

Indian School of Business

Abstract

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.

Keywords: Option expiration, Indian market, NSE, abnormal trading volume, abnormal price movement, individual stock reversal, stock pinning, stock price clustering

JEL Classification: G12, G13, G14, G24

Suggested Citation

Gupta, Akash and Metia, Samik and Trivedi, Prashant, The Effects of Option Expiration on Nse Volume and Prices. Available at SSRN: https://ssrn.com/abstract=619701 or http://dx.doi.org/10.2139/ssrn.619701

Akash Gupta (Contact Author)

Oklahoma State University - Stillwater ( email )

Stillwater, OK 74078-0555
United States

Samik Metia

Indian School of Business ( email )

Hyderabad, Gachibowli 500 019
India

Prashant Trivedi

Indian School of Business ( email )

Hyderabad, Gachibowli 500 019
India

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