Buradasınız

Anasayfa » Content

Impact of Derivative Trading On Stock Market Volatility in India : A Study of S&P CNX Nifty

Journal Name:

  • Eurasian Journal of Business and Economics

Publication Year:

  • 2010

Key Words:

Author Name
Abstract (2. Language): 
The Purpose of the study is to examine the impact of derivative trading on stock market volatility. The sample data consist of closing prices of S&P CNX Nifty as well as closing prices of five derivative stocks and five non derivative stocks from April 1, 2002 to March 31, 2005. The study uses GARCH model to capture nature of volatility over time and volatility clustering phenomenon of data. The evidences suggest that there is no significant change in the volatility of S &P CNX Nifty, but the structure of volatility has changed to some extent. However, results show mixed effect in case of 10 individual stocks. These results can assist investors in making investment decision. It also helps to identify need for regulation.
Bookmark/Search this post with
FULL TEXT (PDF): 
PDF icon arastirmax-impact-derivative-trading-stock-market-volatility-india-study-sp-cnx-nifty.pdf
  • 6
139-149
  • English

JEL Codes:

REFERENCES

References: 

Alexakis, P. (2007) “On the effect of index future trading on stock market volatility”.
International research journal of finance & economics 11.
Debashish, S. (2008) “Financial engineering and the impact of index trading on spot market
in India”. Pranjana 11(2).
Debashish, S. (2008) “Impact of future trading activity on stock price volatility of NSE Nifty
stock index”. Journal of derivative markets l5 (4).
Drimbetas, E., Nikolas, S. and Porfiris, N. (2007) “The effect of derivative trading on volatility
of the underlying asset: Evidence from the Greek Stock Market”. Applied Financial
Economics 17(2).
Kim, M., Kim, G.R., and Kim,M. (2004) “Stock market volatility &trading activities in the
KOSPI 200 derivative markets”. Applied Economics Letter 11.
Mallikarjunappa, T. and Afsal E.M (2008) “Effect of future trading on spot market market
volatility: A study of CNX Bank Nifty”. Decision 35(1).
NSE (2009) “NSE Fact book”. http://www.nseindia.com/. (accessed June 30,2010)
Pilar, C. and Rafael, S. (2002) “Does derivatives trading destabilize the underlying assets?
Evidence from the Spanish Stock Market”. Applied Economics letter 19.
Rahman, S. (2004) “The introduction of derivative on the DJIA and their impact on the
volatility of component stocks”. The journal of future markets 12(7).
Robbani, M.G. and Bhuyan, R. (2005) “Introduction of future and option on a stock index and
their impact on trading volume and volatility: Empirical evidence from the DJIA
components”. Derivative use, trading and regulation 11(3).
Sabri,N.R. (2008) “Impact of future trading activity on stock price volatility in the Arab
economy”. Journal of derivatives & Hedge funds 14 (3/4).
Samanta, P. and Samanta, P. (2007) “Impact of future trading on underlying spot market
volatility”. The ICFAI journal of applied finance 13 (10).
Vipul (2006) “Impact of the introduction of derivatives on underlying volatility: Evidences
from India”. Applied financial Economics 16.

Thank you for copying data from http://www.arastirmax.com