Futures Trading and Market Votality in Indian Equity Market: A Study of CNX IT Index
Research on the impact of the introduction of derivatives on the market volatility has reported mixed evidences. In this paper, we study the volatility implications of the introduction of derivatives on the stock market in India using S&P CNX IT index. To account for the heteroscedasticity in the time series, GARCH model is used. We find clustering and persistence of volatility in different degrees before and after derivatives and the listing in futures has increased the market volatility. The sensitivity of the index return to domestic and global return remains same even after the introduction of futures trading. Further, the nature of the volatility has altered during the post-derivatives period with prices highly dependent on recent innovations which is a sign of improved market efficiency. Besides, volatility clustering occurs at a faster pace in the post-derivatives period. We conclude that listing of derivatives has helped price discovery process.
Volume (Year): 3 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://web.usm.my/aamj/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf00301_59-76. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.