Journal
| Title | Impact of Future Derivatives on Stock Market Volatility | |
| Author's Name | Taruna Malhotra | |
| ISSN | 0974-7281 | |
| Page(s) | 34-40 | |
| Volume No. | 6 | |
| Issue Month | January 2014 | |
| Keywords | Derivatives, Dummy variable, Index futures, Stock market, Volatility. | |
| Abstract | Derivative products like futures and options in Indian stock market have become important instruments of price discovery, portfolio diversification and risk hedging in recent times. This research study is an effort to study the impact of introduction of index futures on the stock market volatility. In order to capture the impact of introduction of index on the volatility of the underlying, a dummy variable which takes up the value zero in the pre-introduction of index futures and one in the post-introduction is included while specifying the volatility dynamics. The results indicate that the introduction of derivatives do not affect stock market volatility and any change in stock volatility is due to factors like better information and more transparency in the market. |
<< Go Back to the List
