Effect of futures trading on spot price volatility: evidence for NSE Nifty using GARCH
by Sathya Swaroop Debasish
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 1, No. 2, 2008

Abstract: This study aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets using data from April 1997 to April 2007. The study considered six measures of volatility, dynamic linear regression models and the GARCH models to investigate volatility in NSE Nifty prices, both before and after the onset of futures trading. The study confirmed no structural change after the introduction of futures trading on Nifty and found that, whilst the pre-futures sample was integrated, the post-futures sample was stationary. Spot returns volatility is found to be less important in explaining spot returns after the advent of futures trading in NSE Nifty.

Online publication date: Sat, 01-Nov-2008

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the Afro-Asian J. of Finance and Accounting (AAJFA):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com