TY  - SER
AU  -  Chakrabarti, Prasenjit
AU  - Kumar, Rahul
TI  - Price Impact of Derivatives Listing and Delisting: Evidence from India
SN  - 0019-4662
PB  - The Indian Economic Journal
KW  -  Cash Market
KW  -  Daily Market Capitalisation
KW  -  Market Sentiments
KW  -  Price Reaction
KW  - Economics
N2  - This article investigates the spot market’s short-term price reaction on derivatives listing and delisting in India. We comprehensively examine the derivatives listing and delisting with extended time-series data from 2001-2020. We employ event study methodology and find that stocks show positive price reactions on the inclusion, whereas, on the exclusion, stocks show adverse price reactions. In addition, we validate our findings by considering the announcement date and actual date as our event date. We also examine the cross-sectional drivers of cumulative abnormal returns. We find that the underlying liquidity and volatility are critical drivers of cumulative abnormal returns. We produce evidence that derivatives listing (delisting) around the event window significantly increases (decreases) the prices of its underlying. The study attempt to contribute to option listing literature by analyzing the firm-specific cross-sectional drivers of cumulative abnormal returns.JEL Codes: G11, G12, G14
UR  - https://doi.org/10.1177/00194662221137261
ER  -