An Empirical Analysis of the Impact of Futures on Spot Market Volatility: Evidence from National Stock Exchange (NSE), India.
Indian Journal of Economics and Business 2008, Dec, 7, 2
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Publisher Description
Abstract This article examines empirically the impact of futures on spot market volatility in India. A generalised auto regression conditional hetroscedasticity (GARCH) model is selected to measure the spot return volatility in the present stud),. The study also employed the vector autoregression (VAR) model to investigate the relationship between spot return volatility and futures market. The daily data from 12th, June, 2000 through 28th, December, 2006 has been considered for the analysis which has been retrieved from National Stock Exchange (NSE). The results indicate that the volatility in the spot market has been declined after the introduction of futures market.
GENRE
Business & Personal Finance
RELEASED
2008
1 December
LANGUAGE
EN
English
LENGTH
11
Pages
PUBLISHER
Indian Journal of Economics and Business
SELLER
The Gale Group, Inc., a Delaware corporation and an affiliate of Cengage Learning, Inc.
SIZE
275.6
KB
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