Nature of Volatility Patterns of Futures and Options on Nifty Index

• 作者: Divya Verma
• 来源期刊: 现代会计与审计:英文版
• 学科: 化学
• 关键词: derivatives VOLATILITY NIFTY FUTURES stock market efficiency
• 年，卷（期）: 2020,（10）
• 页码范围: 436-445
• 页数: 10页
• 分类号: O62

摘要

Derivatives were introduced in Indian financial market to reduce volatility in the spot market.The present study attempts to study the impact of derivatives on stock market volatility.In the present study,data have been taken for Nifty Index for a period from 01-01-1996 to 05-02-2016.For analyzing the impact of introduction of derivatives on Nifty Index Volatility,we have taken proxy variable of Nifty Junior Index and Standard&Poor’s 500(S&P 500)Index returns.The data have also been classified into pre-futures(introduced on 12-06-2000)and post-futures and pre-options(introduced on 04-06-2001)and post-options period.The results show that volatility has reduced after introduction of futures and options.