This study examines the presence of expiration-day effects of equity derivatives in India, which is reflected through sharp price movements of underlying stocks/indices at and around expiration-dates on which derivatives contracts on these stocks/indices expire. The study is using high frequency index value data of S&P CNX Nifty (sampled at frequency of 1-minute) for the purpose of analysis. For empirical analysis, this study is employing time series “ARMA model with EGARCH errors” framework finding evidence on expiration-day effects. The results of the study indicated presence of some significant expiration-day effects in India.
Expiration-day effect, price reversal, volatility, heteroscedasticity
