A Study on the Volatility Effects of Listing of Equity Options and Equity Futures in National Stock Exchange of India

Authors

  •   Tulika Mattack Assistant Professor, D.H.S.K. Commerce College, Dibrugarh, Assam- 786 001
  •   Ashit Saha Professor & H.O.D., Department of Commerce, Dibrugarh University, Dibrugarh, Assam- 786 004

DOI:

https://doi.org/10.17010/ijf/2016/v10i4/90798

Keywords:

Volatility

, ARMA, GARCH, Equity Options, Equity Futures, NSE

G12

, G14, G18

Paper Submission Date

, October 31, 2015, Paper sent back for Revision, March 4, 2016, Paper Acceptance Date, March 13, 2016.

Abstract

Ever since their introduction in various stock exchanges of the world, financial derivatives have been an interesting area of study, a major concern being their impact on the volatility of the underlying securities. Considering the phenomenal growth of the derivatives market in India together with the fact that studies around the world lack in consensus regarding the impact of futures and options on market volatility, an in-depth study of the Indian market was felt necessary. This study aimed to find out whether introduction of options and futures contracts had an effect on the volatility of the underlying equities. The results from the ARMA-GARCH models applied in the study proved that volatility of most of the underlying stocks decreased with the listing of equity options and futures.

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Published

2016-04-01

How to Cite

Mattack, T., & Saha, A. (2016). A Study on the Volatility Effects of Listing of Equity Options and Equity Futures in National Stock Exchange of India. Indian Journal of Finance, 10(4), 29–40. https://doi.org/10.17010/ijf/2016/v10i4/90798

Issue

Volume 10, Issue 4, April 2016

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

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