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Derivatives Trading And Volatility A Study Of The Indian Stock Markets
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Book Synopsis Derivatives Trading and Volatility - a Study of the Indian Stock Markets by : Ash Narayan Sah
Download or read book Derivatives Trading and Volatility - a Study of the Indian Stock Markets written by Ash Narayan Sah and published by . This book was released on 2006 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity derivatives trading started on June 9, 2000 with introduction of stock index futures by Bombay Stock Exchange (BSE). National Stock Exchange (NSE) also commenced its trading on 12 June, 2000 based on Samp;P Nifty. Subsequently, other products like stock futures on individual securities, index options and options on individual securities were introduced. This paper tries to examine the impact of derivatives trading on the volatility of Samp;P Nifty and BSE Sensex using ARCH/GARCH technique. It also examines the behaviour of volatility of other indices such as Nifty Junior, NSE 200, Samp;P Nifty 500, BSE-100 and BSE-200 to see whether the market wide volatility has declined over the sample period. Further, surrogate indices like BSE100 and Nifty Junior are used to assess whether the introduction of derivatives per se has been instrumental or the volatility has plummeted in line with general fall in market wide volatility. The results established that introduction of futures and options have negligible or no effect on the volatility as evident from GARCH (1, 1) model. When surrogate index taken into consideration Samp;P Nifty showed decline in volatility while BSE Sensex exhibited rise in volatility. EGARCH model indicates fall in volatility in case of all indices.
Book Synopsis Impact of Derivatives on the Volatility and Liquidity of the Underlying by : Saurabh Kumar
Download or read book Impact of Derivatives on the Volatility and Liquidity of the Underlying written by Saurabh Kumar and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been almost one year since exchange-based option trading on individual stocks began in the Indian market. Considering that this is a structural change, it would be interesting to note its impact on the spot market. An analysis suggests that in certain stocks both volatility and returns in the spot market have declined after options trading began. Volumes in the spot market declined in most cases, post listing. Regulators and market participants have been interested in observing the impact of the listing of options on the spot market, especially in terms of volatility. For instance, the 1987 crash is widely blamed on the excessive use of financial derivatives. Therefore, a fundamental concern is whether speculation in the option market gives rise to higher volatility in the underlying asset market. Another concern among empirical researchers has been the effect of introduction of options on volumes. The options market provides an alternative arena for speculators. For instance, assuming that speculators move from the spot to the options markets, there could be a drop in traded volumes in the former, assuming that other demand factors do not change. An empirical study of the Indian stock markets to examine the effects of derivatives on the liquidity and volatility of the underlying asset over the period of the last twelve months suggests that there is nothing to support the theory that the introduction of options has led to a rise in trading interest in the spot market.
Book Synopsis Indian Stock Market Volatility by : Pradipta Kumar Sanyal
Download or read book Indian Stock Market Volatility written by Pradipta Kumar Sanyal and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility in Capital Markets has been an important issue since the development of capital markets across globe, however with the pioneering models by Robert Engle and Bollerslev, the study of stock market volatility has bought new dimensions in the financial literature. This book also emphasizes the study of volatility in Indian Capital Market after the introduction of financial derivatives in comparison to the pre-derivative period. The very purpose of introduction of financial derivatives in Indian Capital Market is to stabilize the price fluctuations. However, it's always been debated concerning the introduction of derivative instruments and their effectiveness in curbing the volatility and through this book a small attempt is being made to emphasize the issue. The book may help Investors, Portfolio Managers, Professional Money Managers, Researchers, Academicians and Policy Makers in understanding the extent to which financial derivative has stabilize the volatility in Indian Stock Market.
Book Synopsis Study of Volatility in Indian Stock Market by : Govind Patra
Download or read book Study of Volatility in Indian Stock Market written by Govind Patra and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive study of Volatility measurement and comparison between cash and futures markets of NSE, Mumbai. Impact of derivatives trade upon cash segment of stock market Determination of market among cash and futures which react to flow of information faster and hence leads the other in a minute wise break up of data Price discovery of futures in Indian stock market. The study offers an insightful look upon the extent to which derivatives trade stabilize or destabilize the underlying cash market and how should these risks be addressed.The study and results of this study are crucial to investors, stock exchange officials, regulators, academicians, practitioners and researchers. Derivatives play an important role in price discovery process and in completing the market. Their role in risk management for institutional investors and mutual fund managers need hardly be overemphasized."
Book Synopsis An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India by : Srinivasan Kaliyaperumal
Download or read book An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India written by Srinivasan Kaliyaperumal and published by GRIN Verlag. This book was released on 2018-03-13 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.
Book Synopsis The Impact of Derivatives on Stock Market Volatility by : Saurabh Singh
Download or read book The Impact of Derivatives on Stock Market Volatility written by Saurabh Singh and published by . This book was released on 2016 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most important issues that have engaged the financial managers and the academicians in Finance all over the world is the financial markets volatility and the need to forecast it accurately. The stock prices depend on the investment behavior which, in turn, is affected by the efficiency of volatility forecasting. The purpose of this paper is to examine the volatility in the Indian stock market after the introduction of futures contracts on the SENSEX index. To explore the time series properties Unit Root Test and ARCH LM test have been employed. GARCH (1, 1) model have been applied to study the impact on underlying volatility, for this sample period of 26 years has been taken. The results of this study indicate that the introduction of futures leads to a significant change in the spot market volatility of the SENSEX index and it is successful in reducing the volatility.
Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah
Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives Trading and the Volume-volatility Link in the Indian Stock Market by : Sumon Kumar Bhaumik
Download or read book Derivatives Trading and the Volume-volatility Link in the Indian Stock Market written by Sumon Kumar Bhaumik and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Derivatives on Stock Market Volatility by : T. Mallikarjunappa
Download or read book The Impact of Derivatives on Stock Market Volatility written by T. Mallikarjunappa and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market by : Puja Padhi
Download or read book Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market written by Puja Padhi and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH model, especially to take into account the link between information and volatility. This paper provides the evidence that there is not much change in the volatility pattern after the introduction of futures in the Indian stock market. The impacts of futures trading for the post futures period can be captured by the asymmetric coefficient (gamma), suggest that there is a statistically significant and positive asymmetric effect. Thus the introduction of futures trading has impact on the asymmetric coefficient. It shows the similar pattern for the pre and post futures period. Empirical research can be further expanded by selecting and analyzing high frequency intraday data and the inclusion of additional economic variables in the conditional variance equation.
Book Synopsis Momentum Trading on the Indian Stock Market by : Gagari Chakrabarti
Download or read book Momentum Trading on the Indian Stock Market written by Gagari Chakrabarti and published by Springer Science & Business Media. This book was released on 2013-03-27 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an exploration of the Indian stock market, focusing on the possible presence of momentum trading. One thing, however, should be noted. While it is true that momentum trading, which tends to generate speculative bubbles, may result in a financial market crash, its nature in contrast might depend on the nature of the economy itself. The study, while exploring the presence and nature of momentum trading on the Indian stock market in recent years, seeks to relate it to significant structural breaks in the Indian or global economy. To be precise, it outlines a potential correlation between the instability in the stock market and the speculative trading on the market, exploring the question of whether it is human psychology that drives financial markets. In the process, the choice of a significant structural break has been obvious: the global financial meltdown of 2007-2008 – a crisis that has often been referred to as the worst ever since the crash of 1929. While analyzing the nature of momentum trading on the Indian stock market with regard to the financial crisis of 2007-08, the study takes into account two major representatives of the market, the BSE (Bombay Stock Index) and NSE (National Stock Index), for the period 2005 to 2012. This study seeks to answer a few important questions. First of all, it tries to unveil the underlying structure of the market. In doing so, it examines the following issues: (i) What was the latent structure of the Indian stock market leading up to the crisis of 2007-08? Does the structure offer insights into designing profitable trading strategies? (ii) Is it possible to construct a profitable portfolio on the Indian stock market? (iii) Is there any profitable trading strategy on the Indian stock market? While exploring these issues, the study delves deeper, breaking the whole period down into two sub-periods, before the crisis of 2008 and after the crisis. The purpose of this division is to determine whether there has been any discernible change in the market structure since the shock.
Book Synopsis Volatility Study of NSE NIFTY During Its Pre and Post Derivative Period by : Gurmeet Singh
Download or read book Volatility Study of NSE NIFTY During Its Pre and Post Derivative Period written by Gurmeet Singh and published by . This book was released on 2016 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the volatility dynamics of stock market by using daily data of the NIFTY index of NSE during its pre and post derivative period from Jan 2000 to Dec 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns for pre-derivative, post-derivative and whole period of the NIFTY index under study.
Book Synopsis Futures Trading and Market Volatility in Indian Equity Market by : T. Mallikarjunappa
Download or read book Futures Trading and Market Volatility in Indian Equity Market written by T. Mallikarjunappa and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Futures and Volatility Quotient by : Sheetal Kapoor
Download or read book Stock Futures and Volatility Quotient written by Sheetal Kapoor and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The last decade of the 20th century in India is said to have witnessed the most innovative phase when derivatives trading incarnated on the stock bourses. Initially, index futures were introduced, followed by stock futures. The onset of derivatives trading, particularly stock futures, has been blamed for distorting the face of market stability, thereby making the market volatile. The present paper aims to find out empirically the impact of stock futures trading on the volatility quotient of the stock market. Though nowadays equity derivative products are available with respect to many equities, the study segregates a few scrips with justified rationale. The scrips, after being tested for symmetry/asymmetry, are operated on GARCH family of models. The empirical results reveal that the overall stock futures' trading has gone a long way in stabilizing the market and the notion of equity derivatives trading destructing the market stability is a myth.
Book Synopsis Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks by : Thadavillil Jithendranathan
Download or read book Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying asset. This study uses the introduction of single stock futures (SSF) listed on the National Stock Exchange of India to test the influence on the volatility of the underlying stock returns. An interesting aspect of the Indian SSF market is that for many of the stocks the volume traded on the SSF market is higher than that of the underlying stock market. Results support the hypothesis that introduction of single stock futures reduce the volatility of the returns of the underlying stock.
Book Synopsis A Study on the Derivatives Market in India by : Toopalli Sirisha
Download or read book A Study on the Derivatives Market in India written by Toopalli Sirisha and published by . This book was released on 2020 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives market a significant role to play in a country's economic development. The study's objective is to investigate the effect on the underlying market volatility of financial derivatives (futures and options). Currently, financial derivatives have become increasingly popular and utmost frequently used in the world of finance. This has grown with an extraordinary speed all over the world that now it is called as the derivatives revolution. In India, the emergence and growth of the derivatives market is relatively more derivative. This article aims to study futures and options by considering a company derivative from Indian stock market. This paper aims at suggesting the best possible ways to investors to gain more profits in derivative markets.
Book Synopsis Volatility on the Indian Stock Market by : P. Sireesha
Download or read book Volatility on the Indian Stock Market written by P. Sireesha and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is carried out to understand the volatility behavior of the Indian stock market, taking into account the NSE as the role model. Historical volatility levels of CNX Nifty are computed using classical, range-based and drift independent volatility measures. It could be concluded that Yang Zhang's measure of volatility is better and consistent in calculating the overall risk of the index under consideration.
