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- Title
Category Specific Volatility Check on Derivatives Introduction - Indian Context.
- Authors
KANNAN, K.; BALAMURUGAN, G.
- Abstract
This paper examines the effect of derivatives on volatility of select securities of different market capitalization in Indian stock market to assess any category specific volatility pattern exists. This study is based on 97 stocks comprising Large, Mid and Small Cap stocks of Indian Stock Market. These stocks and its derivative contracts are listed in the National Stock Exchange of India. GJR GARCH model is used to measure the changes in volatility, Asymmetric effect and volatility pattern over pre-introduction and post introduction period of derivatives of chosen stocks. The results suggest that derivatives reduce the volatility, change the volatility pattern of select stocks, but do not work well with asymmetric effect as expected. It is ascertained that there is lack of evidence to prove the changes surfaced in the volatility pattern are pertinent to the different category they belong to.
- Subjects
INDIA; NATIONAL Stock Exchange of India Ltd.; VOLATILITY (Securities); SMALL capitalization stocks; FINANCIAL markets; GARCH model; MARKET capitalization; STOCK exchanges
- Publication
Finance India, 2022, Vol 36, Issue 1, p117
- ISSN
0970-3772
- Publication type
Article