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Market
Group 8
Priyadarshi PGP/13/100
Dheeraj Tiwari PGP/13/203
Gaurav darda PGP/13/205
Arindam Mandal PGP/13/257
Yashwant Mulwani PGP/13/307
Kingshuk Chateerjee PGP/13/310
Indian Stock Market
Indian Stock market is one of the oldest stock
markets in Asia, having a history of 200 years
At present, there are twenty one recognized stock
exchanges in India
It does not include the ‘Over The Counter Exchange
of India Limited’ (OTCEI) and the ‘National Stock
Exchange of India Limited’ (NSEIL)
National Stock Exchange
The National Stock Exchange was incorporated in
1992
Came into being in order to lift the Indian stock
market trading system on par with the international
standards, on the basis of the recommendations of
high powered ‘Pherwani Committee’
Trading was opened on this stock market in mid
1994
It was recently accorded recognition as a stock
exchange by Dept. of Company Affairs
The National Stock Exchange (NSE) was ranked
first in term of trading volumes of individual stock
futures in 2007
Derivative Market
Financial markets in last decade have been characterized by the
development of derivative securities such as options, swaps and
futures
This development has both positive and negative effects
markets
Arbitrage between the cash and futures markets requires investors
to unwind positions in the latter market on the day of expiration of
contracts
The consequent increase in the number of large buy and sell orders,
and the temporary mismatch between these orders, can significant
affect prices and volatility in the underlying cash market
Growth Of Indian Stock Market
Indian stock markets have seen tremendous growth in
last few years in both equity and derivative segment
This growth can be attributed to the confidence
developed among investors for the stock market
Such confidence among investors has arises from well
developed securities market which is backbone of the
financial system of a country
In the derivative exchange-traded market, the biggest
success story has been derivatives on equity products
Index option and Index futures are leading the pack
followed by Stock futures and stock options in term of
volumes
Growth Of Indian Stock Market
Growth Of Indian Stock Market
Derivatives contracts at National Stock
Exchange
Objective of the Study- What is this effect
We have studied the effects of the expiration day of
stock options and futures on the trading of the
underlying shares
We have analyzed the stock data for a twofold
effect:
• Effect of expiration on stock prices
• Effect of expiration on volume
Data For Analysis
(Rs. crore)
where
where
Reliance β = -0.06 This shows that the stock price declines by 6% on the expiry
p-value = 3.29e-05 date and a low p-value makes the observation statistically
significant
TCS β = -0.00483390 The stock price decreases by 0.48%, however this has a high
p-value = 0.3520 p-value thus making the observation statistically insignificant
UNITECH β = 0.00167060 The stock price increases by 0.16%, however this has a very
p-value = 0.8509 high p-value thus making the observation statistically
insignificant.
SUZLON β = -0.00881281 The stock price decreases by 0.88%, however this has a high
p-value – 0.29892 p-value thus making the observation statistically insignificant.
ONGC β = 0.00237815 The stock price increases by 0.23%, however this has a very
p-value - 0.6220 high p-value thus making the observation statistically
insignificant.
Effect On Volume
Stock Effect on Volume (β) Interpretation