文章基本信息

标题：An Econometric Study on Impact of Futures Trading on the Stability of Stock Index in India
本地全文：下载
作者：Sathya Swaroop Debasish ; Bhagaban Das
期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2008
卷号：3
期号：12
页码：70
DOI：10.5539/ijbm.v3n12P70
语种：English
出版社：Canadian Center of Science and Education
摘要：The effect of futures trading on the stability of index returns is studied by taking a case of BSE Sensex stock index (India). The stability of BSE Sensex returns (measured by unconditional volatility) is examined by using two statistical tests namely Kolmogorov Smirnov 2-sample test and Wilcoxon Rank Sum test, and by use of daily observations on the BSE SENSEX index over the period of study is from Jan 1996 to Dec 2007. The conditional volatilities of monthly returns in the pre and post futures periods are examined after adjusting for major macroeconomic factors. Controlling for the effects of macroeconomic variables this study finds no evidence, apart from the month of May 2004 and May 2006, which monthly BSE Sensex index volatility has increased after inception of the BSE Sensex Futures market. Further, the volatility of daily returns in the post futures period was higher than in the pre futures period but the volatility of monthly returns remained unchanged.