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Price Discovery in Options Market with regard to Fiscal Budget Announcement: An Event Study Analysis

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Indian Journal of Economics and Development
Volume 16 No. 2, 2020, 189-195
DOI: https://doi.org/10.35716/IJED/20004
Indexed in Clarivate Analytics (ESCI) of WoS

Monika Arora
Department of Commerce, Khalsa College for women, Ludhiana-141001
Email: monikaarora.45@gmail.com

ABSTRACT
This research empirically investigated the informational role of options market using a sample of NSE listed 30 stocks with options and 30 stocks without options about the relevant Fiscal budget 2019 announcement. Given the higher expected payoff to trading in options contracts, this finding of non-significant abnormal returns for stocks with options around fiscal budget announcement was not surprising as it validated the prior empirical studies documenting options market as a preferred source of trading to informed investors.

Keywords
Event methodology, fiscal budget, stocks with options, stocks without options.

JEL Codes
C12, C13, E62, G17.

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