Shifts in Volatility Altering Nature of Derivatives - New Evidences from National Stock Exchange (NSE) of India.
In: Finance India, Jg. 37 (2023-12-01), Heft 4, S. 1001-1022
academicJournal
Zugriff:
Derivative contracts are believed to benefit the spot market in stabilising its volatility, passing on vital information for better price discovery, abridging the information asymmetry, and neutralising the short-term shocks on volatility. This paper examines the functionality of derivatives in the recent times with stocks introduced into the equity derivatives segments after 2014 in NSE India with empirical data over 1995-2022. We use GJR GARCH model to reassure the functionality of derivatives. We find inconsistent and weak evidences that derivatives positively alter the volatility patterns of the underlying stocks. This insignificant functionality of derivatives reminds us of dominance of speculators in derivatives segment, information inefficiency and the poor outreach of derivatives. As a result of this study, investors making foray into derivative market may avoid taking excessive risks. [ABSTRACT FROM AUTHOR]
Titel: |
Shifts in Volatility Altering Nature of Derivatives - New Evidences from National Stock Exchange (NSE) of India.
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Autor/in / Beteiligte Person: | KANNAN, K. ; BALAMURUGAN, G. |
Zeitschrift: | Finance India, Jg. 37 (2023-12-01), Heft 4, S. 1001-1022 |
Veröffentlichung: | 2023 |
Medientyp: | academicJournal |
ISSN: | 0970-3772 (print) |
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