Examining the Impact of Ex-Dividend on Cash and Carry Spread Dynamics in Nifty 50 Stocks: An Event Study

Rohit Sood, Babli Dhiman

Abstract

The study analyses the impact of ex-dividend date on cash and carry spread for the Nifty-50 companies in India for the period spanning 2009 to 2024. The event study is applied to appraise the statistical significance of dividend arbitrage for equity and futures spread for the same underlying of Nifty-50 companies. The study analyzes the impact of ex-dividend dates on cash-and-carry spread using a 10-day pre-event window and 05-day pre-event window to anticipate significant price changes in both equity and futures segment. The results indicate that early spotting of the spread allows retail investors to create the spot-futures spread position to capitalize on the short-term price differential and exit the spread position, as the ex-dividend date approaches. The study provides actionable insights for Portfolio managers, investors and arbitrageurs to optimize trading strategies and applied finance knowledge in emerging markets. This study extends existing research on ex-dividend effects by examining their influence on cash-and-carry spread dynamics and arbitrage opportunities in the Indian spot-futures market. JEL Classification: J16, J31, O17 Keywords: Ex-Dividend, Event Study, Cash and Carry, Arbitrage, Nifty-50

Source: semanticscholar · PDF

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