[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/usm/journl/aamjaf00301_59-76.html
   My bibliography  Save this article

Futures Trading and Market Votality in Indian Equity Market: A Study of CNX IT Index

Author

Listed:
  • T. Mallikarjunapp

    (Department of Business Administration, Mangalore University, Mangalagangotri 574 199, Mangalore, DK, India)

  • Afsal E. M.

    (Department of Business Administration, Mangalore University, Mangalagangotri 574 199, Mangalore, DK, India)

Abstract
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.

Suggested Citation

  • T. Mallikarjunapp & Afsal E. M., 2007. "Futures Trading and Market Votality in Indian Equity Market: A Study of CNX IT Index," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 3(1), pages 59-76.
    • Handle: RePEc:usm:journl:aamjaf00301_59-76
    as

    Download full text from publisher

    File URL: http://web.usm.my/journal/aamjaf/vol3-1-2007/3-1-4.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journal Division, Penerbit Universiti Sains Malaysia (email available below). General contact details of provider: https://edirc.repec.org/data/aammmea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.