A Study of Expiration-day Effects of Index Derivatives Trading in India (Record no. 49993)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01492nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180622161900.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180622b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mahalwala, Rachna |
| 9 (RLIN) | 31841 |
| 245 ## - TITLE STATEMENT | |
| Title | A Study of Expiration-day Effects of Index Derivatives Trading in India |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 10-19 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This study examines the existence of expiration-day effects of index derivatives trading in India through volume, return, volatility, and price reversal characteristics of underlying stock market during expiration days of these contracts. Expiration-day effects can be a result of a mixture of factors, including the presence of arbitrage opportunities, the cash settlement nature of index derivative contracts, the stock market process for accommodating the unwinding of arbitrage positions in the stocks, and the efforts to wittingly manipulate prices. Using daily price and turnover data of CNX Nifty and employing time series “ARMA model with EGARCH errors,” the results of the study indicated the presence of some significant but non-disastrous expiration-day effects in India. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Index derivatives |
| Uncontrolled term | expiration day |
| Uncontrolled term | price reversal |
| Uncontrolled term | volatility |
| Uncontrolled term | heteroscedasticity |
| Uncontrolled term | arbitrageurs |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 49815 |
| Host Itemnumber | 60462 |
| Main entry heading | Raina, Roshan |
| Place, publisher, and date of publication | INDIAN INSTITUTE OF MANAGEMENT LUCKNOW |
| Other item identifier | 5556159 |
| Title | Metamorphosis : A Journal 0f Management Research Vol 15 |
| International Standard Book Number | 0972-6225 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 22/06/2018 | Vol 15, No 1/ 5556159Ja2 | 5556159Ja2 | 22/06/2018 | 22/06/2018 |