Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks
Author | : Thadavillil Jithendranathan |
Publisher | : |
Total Pages | : |
Release | : 2014 |
ISBN-10 | : OCLC:1308849075 |
ISBN-13 | : |
Rating | : 4/5 (75 Downloads) |
Download or read book Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying asset. This study uses the introduction of single stock futures (SSF) listed on the National Stock Exchange of India to test the influence on the volatility of the underlying stock returns. An interesting aspect of the Indian SSF market is that for many of the stocks the volume traded on the SSF market is higher than that of the underlying stock market. Results support the hypothesis that introduction of single stock futures reduce the volatility of the returns of the underlying stock.