Literature Review On Index Traded Derivative Instrument In India

1. Effect Of Future Trading On Spot Market Market Volatility: A Study Of CNX Bank Nifty.
Mallikarjunappa And Afsal E.M. This Paper Studies The Volatility Implications Of The Introduction Of Derivatives On Stock Market Volatility In India Using The S&P Cnx Nifty Index As A Benchmark. To Account For Non-Constant Error Variance In The Return Series, A Garch Model Is Fitted By Incorporating Futures And Options Dummy Variables In The Conditional Variance Equation.The Introduction Of Derivative Trading On Spot Market Volatility Of Nifty And Concluded That Price Sensitivity To Old News Is Higher During Pre Future Period Than Post Future Period And With Introduction Of Future, Market Volatility Is Determined By Recent Innovation. They Also Explored Effect Of Future Trading On Spot Market Volatility By Using Garch Model On Cnx Bank Nifty And Found That There Is No Impact Of Future Trading On Spot Market Volatility. However, Impact Of New News Increased And Persistence Effect Of Old News Decreased In Post Future Period.
2. Impact Of Derivative Trading On Stock Market Volatility In India: A Study Of S&P CNX Nifty.
Ruchika Gahlot, Saroj K. Datta, Sheeba Kapil
The Purpose Of The Study Is To Examine The Impact Of Derivative Trading On Stock Market Volatility. The Sample Data Consist Of Closing Prices Of S&P Cnx Nifty As Well As Closing Prices Of Five Derivative Stocks And Five Non Derivative Stocks From April 1, 2002 To March 31, 2005. The Study Uses Garch Model To Capture Nature Of Volatility Over Time And Volatility Clustering Phenomenon Of Data. The Evidences Suggest That There Is No Significant Change In The Volatility Of S &P Cnx Nifty, But The Structure Of Volatility Has Changed To Some Extent. However, Results Show Mixed Effect In Case Of 10 Individual Stocks. These Results Can Assist