Title

Year

Author

Purpose/Objective

Findings

1

2005

Vipul [14]

To examine the expiration day influence on the stock index futures.

The study concludes that prices in cash segment has fallen before the expiry day and raised after the day after expiration.

2

2007

S Bose

and

S Bhaumik [7]

To find out the influence of expiration effects on the market index as against to prices of single stocks.

The study reveals that there is significant expiration effect of derivatives on both mean and variance of daily returns.

3

2008

B Kamaiah

and

Sakthivel [13]

To investigate the futures contracts expiry day impact on the cash market as well as individual stocks.

Single stocks volatility amplified at the time of expiry day of futures contracts and also was unable to find price setback for almost all the individual stocks.

4

2008

BS Bodla

and

K Jindal [16]

To investigate the impact of financial derivatives contract on the trading volume of spot market.

It is observed that there is positive effect of expiration of derivatives on trading volume of sample stocks.

5

2011

A Sadath

and

B Kamaiah [22]

To examine the impact of stock futures expiration in relation to price & volume of stocks in NSE.

It has been observed that futures expiration has a significant effect on price & volume leading to expiration.

6

2014

Sakthivel et al [23]

To bring out the relationship between time to expiry and price volatility in NSE.

It was found that a futures trading quantity is a major determinant of futures price volatility whereas time to maturity is not.

8

2016

SS Debasish

and

TN Puri [15]

To study the volume of trading, volatility on expiry day/week and daily price range and price turnaround on the expiry day/week is different than that of comparison set.

The study examined expiration impact on the Nifty in comparison with return and trading volume during the expiration weeks of the Nifty Index futures with the quantity and return on comparison weeks and comparison days.

9

2016

G Yilgor et al.,

To investigate the effect of futures contracts on the spot market volatility.

The study revealed that futures and options market reduce spot market volatility.

10

2016

R Mahalwala [17]

To find the expiration-day impact of index derivatives trading in India.

It was observed that there was a significant increase in trading volume on expiration days, return on expiration is same as on non-expiration days and volatility on expiration days observed to be decreased.

11

2017

Sangeeta Wats [24]

To find the effect of expiry day of derivatives on the underlying market volatility.

Because of introduction to derivatives monthly contracts cash market volatility has augmented in the expiration weeks or expiration days.

12

2019

H Gurgul and M Suliga [1]

To examine the impact of stock and index futures expiration on the spot market.

It was concluded that strong volumes and trading activity on expiration days was significantly higher than normal days.