Introduction of derivative trading in India and its impact on the volatility of underlyingspotmarket

By:

PRASANNA, P KRISHNA

Material type:

Mixed materialsPublication details: 2013Description: 89-104Subject(s):

DERIVATIVE

NLM classification:

332.632

In: FINANCE INDIAMSummary: Equity derivatives have become popular financial products in Indian capital market since 2003. Trading on derivatives tend to make the underlying spot market more liquid and informationally effecient. Despite the financial crisis in the year 2008the turnover in derivative market was 4 times then that of spot market. Volatility impact has been examined with the help of asymmetric GRACH model. GJRGRACH (1,1) was used to model the heteroskedasticity and examine the changes in the post introduction period.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		27/1	Available		P14861

Equity derivatives have become popular financial products in Indian capital market since 2003. Trading on derivatives tend to make the underlying spot market more liquid and informationally effecient. Despite the financial crisis in the year 2008the turnover in derivative market was 4 times then that of spot market. Volatility impact has been examined with the help of asymmetric GRACH model. GJRGRACH (1,1) was used to model the heteroskedasticity and examine the changes in the post introduction period.

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