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Keywords:

  • G12;
  • G14;
  • G15

Abstract

One 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