Generalizability of expiry-day SIP advantages to developed markets

Ascertain whether expiry-day-aligned SIP timing advantages similar to those observed for India’s Nifty 50 exist in developed markets with different market microstructure dynamics, such as the United States and the European Union, by comparing the performance of expiry-day SIPs with first-day-of-month SIPs in those markets.

Background

The paper documents that aligning SIP contributions with F&O expiry days offers a modest but consistent edge over first-day contributions in India over short to medium horizons. However, derivatives market structures, liquidity profiles, and institutional behaviors differ across jurisdictions.

The authors explicitly state that it is unknown whether analogous timing advantages exist in developed markets, motivating a cross-market replication to test external validity and microstructure-driven mechanisms.