Expiration-Day Effects on Index Futures: Evidence from Indian Market

• 발행기관: 한국유통과학회
• 저자명: Ravi Kumar SAMINENI Raja Babu PUPPALA Ramesh MUTHANGI Syamsundar KULAPATHI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.11, 95~100쪽, 전체 6쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.11.30

영문 초록

Nifty Bank Index has started trading in futures and options (F&O) segment from 13th June 2005 in National Stock Exchange. The purpose of the study is to enhance the literature by examining expiration effect on the price volatility and price reversal of Underlying Index in India. Historical data used for the current study primarily comprise of daily close prices of Nifty Bank which is the only equity sectoral index in India which is traded in derivatives market and its Future contract value is derived from the underlying CNX Bank Index during the period 1st January 2010 till 31st March 2020. To check stationarity of the data, Augmented Dicky Fuller test was used. The study employed ARMA- EGARCH model for analysing the data. The empirical results revealed that there is no effect on the mean returns of underlying Index and EGARCH (1,1) model furthermore shows there is existence of leverage effect in the Bank Index i.e., negative shocks causes more fluctuations in the Index than positive news of similar magnitude. The outcome of the study specifies that there is no effect on volatility on the underlying sectoral index due to expiration days and also observed no price reversal effect once the expiration days are over.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Empirical Results

5. Conclusion

References

키워드

CNX Bank Index Nifty Bank Index Expiration Day Price Reversal Volatility