This paper is based on the dissertation of the first author. We thank Prof. Robert Webb, Prof. Paresh Narayan (Deakin University) and the participants at the FEG-JFM Symposium on Financial Econometrics of Derivative Securities and Markets, held at Deakin University, Melbourne during January 10–11, 2013, for their useful suggestions and comments. We also thank an anonymous referee for helpful comments and suggestions. The authors are solely responsible for any remaining errors in the paper.
Expiration-Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market
Article first published online: 28 JUN 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Special Issue: Special Issue from the 1st Symposium on the Financial Econometrics of Derivative Securities and Markets
Volume 33, Issue 11, pages 1046–1070, November 2013
How to Cite
Agarwalla, S. K. and Pandey, A. (2013), Expiration-Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market. J. Fut. Mark., 33: 1046–1070. doi: 10.1002/fut.21632
- Issue published online: 16 AUG 2013
- Article first published online: 28 JUN 2013
- Manuscript Received: 1 MAY 2013
- Manuscript Accepted: 1 MAY 2013
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