Futures Trading and Spot Market Volatility in India
| AUTHOR | Samanta, Pretimaya |
| PUBLISHER | LAP Lambert Academic Publishing (01/26/2012) |
| PRODUCT TYPE | Paperback (Paperback) |
Description
Derivatives in the securities markets were launched mainly with the twofold objective of risk transfer and to enhance liquidity in the underlying cash market and thereby ensuring better market efficiency. In the late 1990s, various derivative instruments were introduced in the equity segment of major markets worldwide. It further complicated the volatility behavior of these markets as derivatives opened new avenues for hedging and speculation. Since futures trading encourage speculation, the debate on the impact of speculators on the cash market volatility intensified with the introduction of futures trading. This constitutes the main research problem of this study and the objectives have been set out in accordance to this phenomenon of the derivatives market. The current research work examines the effect of the introduction of futures trading on the volatility of the underlying cash market in India. The standard univariate GARCH model has been used to capture the time-varying nature of volatility and volatility clustering phenomenon in the data. This research study adds a new dimension to the existing literature on futures trading and will be useful to all the market participants.
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Product Format
Product Details
ISBN-13:
9783847373360
ISBN-10:
3847373366
Binding:
Paperback or Softback (Trade Paperback (Us))
Content Language:
English
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Page Count:
92
Carton Quantity:
86
Product Dimensions:
6.00 x 0.22 x 9.00 inches
Weight:
0.32 pound(s)
Country of Origin:
US
Subject Information
BISAC Categories
Business & Economics | General
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publisher marketing
Derivatives in the securities markets were launched mainly with the twofold objective of risk transfer and to enhance liquidity in the underlying cash market and thereby ensuring better market efficiency. In the late 1990s, various derivative instruments were introduced in the equity segment of major markets worldwide. It further complicated the volatility behavior of these markets as derivatives opened new avenues for hedging and speculation. Since futures trading encourage speculation, the debate on the impact of speculators on the cash market volatility intensified with the introduction of futures trading. This constitutes the main research problem of this study and the objectives have been set out in accordance to this phenomenon of the derivatives market. The current research work examines the effect of the introduction of futures trading on the volatility of the underlying cash market in India. The standard univariate GARCH model has been used to capture the time-varying nature of volatility and volatility clustering phenomenon in the data. This research study adds a new dimension to the existing literature on futures trading and will be useful to all the market participants.
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