Introduction of derivative trading in India and its impact on the volatility of underlyingspotmarket
PRASANNA, P KRISHNA
Introduction of derivative trading in India and its impact on the volatility of underlyingspotmarket - 2013 - 89-104
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.
DERIVATIVE
332.632
Introduction of derivative trading in India and its impact on the volatility of underlyingspotmarket - 2013 - 89-104
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.
DERIVATIVE
332.632