Abstract
AbstractOne distinct feature of the Indian stock market is the large trading volume of single stock futures, which are cash settled on the basis of the volume‐weighted average spot prices of the underlying stocks during the last half‐an‐hour of trading on the expiration day. We investigate the expiration day effect on intraday volatility and find that the volatility of the stocks increases in the last half‐an‐hour trade on the expiry day but not during the other time intervals. We also investigate the volatility surrounding the intraday trading breaks induced by satellite communication outages, a peculiar feature of the Indian stock market till 2008, and find that the volatility rises when the market reopens after the breaks but not before the breaks. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
