About this Journal Submit a Manuscript Table of Contents
ISRN Economics
Volume 2013 (2013), Article ID 718538, 6 pages
http://dx.doi.org/10.1155/2013/718538
Research Article

Long-Term Effects of Expiration of Derivatives on Indian Spot Volatility

1Acharya Narendra Dev College, University of Delhi, Delhi 110019, India
2Faculty of Management, University of Delhi, Delhi 110007, India

Received 16 June 2013; Accepted 16 July 2013

Academic Editors: M. T. Leung, S. Managi, and K. P. Upadhyaya

Copyright © 2013 Sunita Narang and Madhu Vij. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. B. S. Bodla and K. Jindal, “Equity derivatives in India: growth pattern and trading volume effects,” ICFAI Journal of Derivatives Markets, vol. 5, pp. 62–82, 2008. View at Google Scholar
  2. S. S. Debasish, “Investigating expiration day effects in stock index futures in India,” Journal of Economics and Behavioral Studies, vol. 1, pp. 9–19, 2010. View at Google Scholar
  3. A. G. Karolyi, “Stock market volatility around expiration days in Japan,” Journal of Derivatives, vol. 4, no. 2, pp. 23–43, 1996. View at Publisher · View at Google Scholar
  4. P. F. Pope and P. K. Yadav, “The impact of option expiration on underlying stocks: the UK evidence,” Journal of Business Finance & Accounting, vol. 19, pp. 329–344, 1992. View at Publisher · View at Google Scholar
  5. C. Schlag, “Expiration-day effects of stock index derivatives in Germany,” European Financial Management, vol. 2, pp. 69–95, 1996. View at Google Scholar
  6. H. R. Stoll and R. E. Whaley, “Expiration-day effects of the all ordinaries share price index futures: empirical evidence and alternative settlement procedures,” Australian Journal of Management, vol. 22, no. 2, pp. 139–174, 1997. View at Publisher · View at Google Scholar · View at Scopus
  7. N. Tripathy, “Expiration and week effect: empirical evidence from the Indian derivative market,” International Review of Business Research Papers, vol. 6, pp. 209–219, 2010. View at Google Scholar
  8. V. Vipul, “Futures and options expiration-day effects: the Indian evidence,” The Journal of Futures Markets, vol. 25, no. 11, pp. 1045–1065, 2005. View at Publisher · View at Google Scholar · View at Scopus
  9. H. R. Stoll and R. E. Whaley, Expiration Day Effects of Index Options and Futures, Monograph Series in Finance and Economics, Monograph 1986-3, New York University, 1986.
  10. H. R. Stoll and R. E. Whaley, “Program trading and expiration-day effects,” Financial Analysts Journal, vol. 43, no. 2, pp. 16–18, 20–28, 1987. View at Google Scholar
  11. H. R. Stoll and R. E. Whaley, “Program trading and individual stock returns: ingredients of the triple-witching brew,” The Journal of Business, vol. 63, no. 1, pp. S165–S192, 1990. View at Google Scholar
  12. H. R. Stoll and R. E. Whaley, “Expiration-day effects: what has changed?” Financial Analysts Journal, vol. 47, no. 1, pp. 58–72, 1991. View at Google Scholar
  13. Y.-F. Chow, H. H. M. Yung, and H. Zhang, “Expiration day effects: the case of Hong Kong,” The Journal of Futures Markets, vol. 23, no. 1, pp. 67–86, 2003. View at Publisher · View at Google Scholar · View at Scopus
  14. D. Lien and L. Yang, “Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data,” The Quarterly Review of Economics and Finance, vol. 45, no. 4-5, pp. 730–747, 2005. View at Publisher · View at Google Scholar · View at Scopus
  15. H. M. Maniar, R. Bhatt, and D. M. Maniyar, ““Expiration hour effect of futures and options markets on stock market”a case study on NSE (National Stock Exchange of India),” International Review of Economics and Finance, vol. 18, no. 3, pp. 381–391, 2009. View at Publisher · View at Google Scholar · View at Scopus
  16. T. W. Chamberlain, C. S. Cheung, and C. C. Y. Kwan, “Expiration-day effects of index futures and options: some Canadian evidence,” Financial Analysts Journal, vol. 45, no. 5, pp. 67–71, 1989. View at Google Scholar
  17. M. Illueca and J. A. LaFuente, “New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish stock exchange,” The Journal of Futures Markets, vol. 26, no. 9, pp. 923–938, 2006. View at Publisher · View at Google Scholar · View at Scopus
  18. P. Corredor, P. Lechón, and R. Santamaría, “Option-expiration effects in small markets: the Spanish stock exchange,” The Journal of Futures Markets, vol. 21, no. 10, pp. 905–928, 2001. View at Google Scholar · View at Scopus
  19. D. Lien and L. I. Yang, “Options expiration effects and the role of individual share futures contracts,” The Journal of Futures Markets, vol. 23, no. 11, pp. 1107–1118, 2003. View at Publisher · View at Google Scholar · View at Scopus
  20. T. Bollerslev, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, vol. 31, no. 3, pp. 307–327, 1986. View at Google Scholar · View at Scopus
  21. F. Black, “Studies in stock price volatility changes,” in Proceedings of the Business Meeting of the Business and Economics Statistics Section, pp. 177–181, American Statistical Association, 1976.
  22. K. R. French, G. W. Schwert, and R. F. Stambaugh, “Expected stock returns and volatility,” Journal of Financial Economics, vol. 19, no. 1, pp. 3–29, 1987. View at Google Scholar · View at Scopus
  23. D. B. Nelson, “Conditional Heteroskedasticity in asset returns: a new approach,” Econometrica, vol. 59, pp. 347–370, 1991. View at Google Scholar
  24. G. Schwert, “Stock volatility and the crash of “87”,” Review of Financial Studies, vol. 3, pp. 77–102, 1990. View at Google Scholar
  25. A. A. Christie, “The stochastic behavior of common stock variances. Value, leverage and interest rate effects,” Journal of Financial Economics, vol. 10, no. 4, pp. 407–432, 1982. View at Google Scholar · View at Scopus
  26. L. R. Glosten, R. Jagannathan, and D. E. Runkle, “On the relation between the expected value and the volatility of the nominal excess return on stocks,” Journal of Finance, vol. 48, no. 5, pp. 1779–1801, 1983. View at Google Scholar
  27. S. Taylor, Modeling Financial Time Series, John Wiley & Sons, New York, NY, USA, 1986.
  28. G. Schwert, “Why stock market volatility change over time?” Journal of Finance, vol. 44, pp. 1115–1153, 1989. View at Google Scholar
  29. A. R. Admati and P. Pfleiderer, “A theory of intraday patterns: volume and price variability,” Review of Financial Studies, vol. 1, pp. 3–40, 1988. View at Google Scholar
  30. E. F. Fama, “Multi-period consumption-investment decisions,” American Economic Review, vol. 60, pp. 163–174, 1970. View at Google Scholar