文章基本信息

标题：Futures Trading and Its Impact on Volatility of Indian Stock Market
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作者：Namita Rajput ; Ruhi Kakkar ; Geetanjali Batra 等
期刊名称：Asian Journal of Finance & Accounting
印刷版ISSN：1946-052X
出版年度：2013
卷号：5
期号：1
页码：289-305
语种：English
出版社：Macrothink Institute
摘要：Derivative products like futures and options are important instruments of price discovery, portfolio diversification and risk hedging. This paper studies the impact of introduction of index futures on spot market volatility on S&P CNX Nifty using Bi-Variate E-GARCH technique. The evidence of this model shows that the volatility spillover between spot and futures markets is uni-directional from spot to futures and spot market dominates the futures market in terms of return and volatility. The volatility persistence and clustering is found to be significant and bidirectional at 5 % level of significance. At the practical level, a better understanding of the mean and variance dynamics of the spot and futures market can improve risk management and investment decisions of the market agents. The findings have implications for policy makers, hedgers and investors. The research contributes to literature for emerging markets such as India.