...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,...
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...Derivatives Trading and Its Impact on the Volatility of NSE, India GEL : G10, G14, G20, G19 ABSTRACT This article examines the impact of introduction of financial derivatives trading on the volatility of Indian stock market (an emerging stock market). It examines the theme that the introduction of derivatives in the stock market in India would reduce the volatility (risk) in the stock market. NSE Nifty 50 index has been used as a proxy of stock market return. ARCH/GARCH technique has been employed in the analysis. The conditional volatility of interday market returns before and after the introduction of derivatives products are estimated with the (GARCH) model. The Finding suggests that derivatives trading has reduced the volatility. Executive Summary Derivatives trading in the stock market have been a subject of enthusiasm of research in the field of finance the most desired instruments that allow market participants to manage risk in the modern securities trading are known as derivatives. The derivatives are defined as the future contracts whose value depends upon the underlying assets. If derivatives are introduced in the stock market, the underlying asset may be anything as component of stock market like, stock prices or market indices, interest rates, etc. The main logic behind derivatives trading is that derivatives reduce the risk by providing an additional channel to invest with lower trading cost and it facilitates the investors to extend their settlement...
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...24, No. 3, Winter 2003 Derivatives and Volatility on Indian Stock Markets Snehal Bandivadekar and Saurabh Ghosh * Derivative products like futures and options on Indian stock markets have become important instruments of price discovery, portfolio diversification and risk hedging in recent times. This paper studies the impact of introduction of index futures on spot market volatility on both S&P CNX Nifty and BSE Sensex using ARCH/GARCH technique. The empirical analysis points towards a decline in spot market volatility after the introduction of index futures due to increased impact of recent news and reduced effect of uncertainty originating from the old news. However, further investigation also reveals that the market wide volatility has fallen during the period under consideration. Surrogate indices like BSE 200 and Nifty Junior are introduced to evaluate whether the introduction of index futures per se has been instrumental in reducing the spot market volatility or the volatility has fallen in line with general fall in market wide volatility. The results using these surrogate indices show that while the ‘futures effect’ plays a definite role in the reduction of volatility in the case of S&P CNX Nifty, in the case of BSE Sensex, where derivative turnover is considerably low, its role seems to be ambiguous. JEL Classification: G1, G14, G15 Key words: Derivatives, index futures, stock markets, volatility, ARCH-GARCH Introduction A derivative is financial instrument whose...
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...Impact of derivative trading on the volatility in the stock market of India -Abhinav Barik Abstract This research paper focuses on the impact the derivative trading has had on the stock market of India. The impact is judged by the change in the volatility after the introduction of the derivative trading. In this paper 5 stocks are taken on which derivative trading was introduced and 4 stocks on which derivative trading was not introduced. The daily closing price of those stocks was taken for two periodspre derivative period and the post derivative period. These were analyzed using GARCH model to find the variance equation and then the GARCH coefficients from this equation were compared using the Wald test to check if the volatility has actually changed. The study suggests that the volatility has decreased for 4 companies, increased for 2 and two other companies did not show any significant change in the volatility. * Keywords: volatility, derivative, correlogram diagram, unit root, GARCH, Wald test *MBA student (2010-12), ICFAI BUSINESS SCHOOL, Hyderabad barik.abhinav@rediffmail.com 1. Introduction Derivative trading was introduced on the individual stocks of the Indian market in the year 2001 by SEBI. This was with a view to decrease the risk taken by the investors and to increase the investment opportunities. Since the derivative market and the spot market are linked so that the risk can be transferred, therefore the investors if want to transfer their risk...
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...Derivative Market – A Case Study on NSE A Report Submitted as per the curriculum of the Master in Business Administration Under Biju Patnaik University of Technology, Rourkela, Orissa. By L Rama kumari Roll No.: 200960712 Regd. No.: 0906202013 [pic] March 2011 Under the Guidance of Mr. Shom Prasad Das NATIONAL INSTITUTE OF SCIENCE & TECHNOLOGY Palur Hills, Berhampur- 761008, Orissa, India DECLARATION I, L rama kumari, student of 2009-11 batch of NIST, Berhampur do here by declare that the report entitled “Derivative Market :A Case Study on NSE” that has been submitted by me as a partial fulfillment of the degree of MBA. This report is my own work and no part of this project has been ever submitted by me for any other purpose. I declare that the work has been carried out to the best of my knowledge and belief and according to my capacity and capability. Date: Place: L Rama kumari ACKNOWLEDGEMENT I would like to take this opportunity to thank all those individuals whose valuable contribution in a direct or indirect manner has gone into the making of this dissertation a tremendous learning experience for me. I take this privilege to express my heartfelt gratitude to our Hon. Director Prof. Sangram Mudali, Hon. Batch co-coordinator Mr.Chinmaya Sahu for encouraging doing this dissertation as a part of curriculum. I would like to express sincerely my deep...
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...A Study of Monetary Policy Impact on Stock Market Returns (With Special Reference to Nifty and Bank Nifty) A PROJECT REPORT Submitted by Chintan Divetia (1011416026) Submitted to Mr. Raviraj Gohil Assistant Professor Department of Finance In partial fulfilment for the award of the degree of POST GRADUATION DIPLOMA IN MANAGEMENT in Finance Shanti Business School, Shela, Ahmedabad. ACKNOWLEDGEMENT It was a great opportunity for me to work with Sharekhan Ltd., pioneers in the field of Stock Market. I am extremely grateful to all those who have shared their expertise and knowledge with me and without whom the completion of this project would have been virtually impossible. Firstly, I would like to thank my Company Mentor Mrs. Raina Vashi who has been a constant source of inspiration for me during the completion of this project. I would also like to thank Mr. Henal Bardoliwala, Relationship Manager of Sharekhan Ltd., for supporting me to complete my project. I am thankful to all staff of Sharekhan Ltd for their valuable support and cooperation during the entire tenure of this project. I thank my faculty guide Mr. Raviraj Gohil who helped me out at every critical situation that i faced in my project and gave us his valuable advice to solve problems. EXECUTIVE SUMMARY I feel great pleasure by presenting this project. As a student of PGDM of ‘Shanti Business School Ahmedabad’, there is a subject of partial training followed...
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...SUMMER INTERNSHIP PROJECT ON “TO STUDY THE DYNAMIC RELATIONSHIP AMONG FIIs, MUTUAL FUND EQUITY INVESTMENT AND OTHER SELECTED VARIABLES WITH NIFTY” Submitted to S.R. LUTHRA INSTITUTE OF MANAGEMENT IN PARTIAL FULFILLMENT OF THE REQUIREMENT OF THE AWARD FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION In Gujarat Technological University UNDER THE GUIDANCE OF Faculty Guide: Company Guide: Ms.Swapna Nair Mr. Mukesh Vishwakarma Assistant Professor Branch Manager Submitted by Mr. Kalpesh R. Ukani [Batch No. 2014-16, Enrollment No. 147500592114] MBA SEMESTER III S.R. LUTHRA INSTITUTE OF MANAGEMENT – 750 MBA PROGRAMME Affiliated to Gujarat Technological University Ahmedabad July, 2015 Company Certificate This is to certify that Mr. Kalpesh R. Ukani from S.R. LUTHRA INSTITUTE OF MANAGEMENT, have carried out the research on the subject titled “TO STUDY THE DYNAMIC RELATIONSHIP AMONG FIIs, MUTUAL FUND EQUITY INVESTMENT AND OTHER SELECTED VARIABLES WITH NIFTY” at ICICI SECURITIES under the supervision of Mr. Mukesh Vishwakarma, from 8th June 2015 to 17th July, 2015. I also certify that, the above mentioned student has carried the research work satisfactorily. Place: - Surat Date: - _________ Mr. Mukesh Vishwakarma (Branch Manager) Student’s Declaration I, Mr. Kalpesh R. Ukani , hereby declare that the report for Summer Internship Project entitled “TO STUDY THE DYNAMIC RELATIONSHIP AMONG...
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...© 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai 400 051 INDIA All content included in this book, such as text, graphics, logos, images, data compilation etc. are the property of NSE. This book or any part thereof should not be copied, reproduced, duplicated, sold, resold or exploited for any commercial purposes. Furthermore, the book in its entirety or any part cannot be stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise. CONTENTS CHAPTER 1....................................................................................................................................................5 INTRODUCTION TO DERIVATIVES ..................................................................................................5 1.1 DERIVATIVES DEFINED.......................................................................................................... 5 1.2 FACTORS DRIVING THE GROWTH OF DERIVATIVES................................................. 6 1.3 DERIVATIVE PRODUCTS ........................................................................................................ 7 1.4 PARTICIPANTS IN THE DERIVATIVES MARKETS ........................................................ 8 1.5 ECONOMIC FUNCTION OF THE DERIVATIVE MARKET ............................................ 8 1.6 EXCHANGE-TRADED VS. OTC DERIVATIVES MARKETS ......................
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...FDRM Project On 9/17/2014 Estimation of NIFTY Spot Price Using Put-Call Parity Under the guidance of Professor Rajiv Srivastava Submitted by: Abhay Sharma (1A) Ayush Gupta (9C) Sachin Gupta (38A) Shikhar Mathur (45A) Table of Contents 1. 2. 3. 4. 5. 6. Executive Summary………….………………………..……………………………….………………..2 Introduction ……………………..………………………………………………………………….……..3 1.1 Why Derivative Markets…………………………….………………………………………………….……..3 1.2 Derivative Markets………………………………………………………………………………………….……3 1.3 Types of Traders……………………………………………………………………………………………………5 1.4 Types of Contracts………………………………………………………………………………………………..5 1.5 Development of Indian Derivatives Market…………………………………………………………..6 Objectives of the Study……………………………………………………….………………………..6 Research Methodology ………………………………………………………………………………..7 Properties of Data…………………………………………………………………………………………7 4.1 Analysis of different contracts…..………………………………………………………………………….9 4.2 Comparison between Call and Put Trade Volume ….……………………………………..……10 4.3 Speculation ratio…………………………………………………………………………………………………11 4.4 Estimation of NIFTY spot Price using Put-Call Parity……………………………………………13 Conclusion………………………………………………………………………………………………….15 Appendix…………………………………………………………………………………………………….16 1 Executive Summary Futures and options markets in India are relatively new. The National Stock Exchange (NSE) introduced trading in Index Options (also based on Nifty) on June 4, 2001. The Futures and Options on...
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...Help Topics | Admissions | | | Awards & Gifts | | | | Login Register | Resources | Practice Tests | Ask Experts | Question Papers | Jobs | Universities | Colleges | Courses | Schools | Training | | Gift Shop | Bookmarks | Reviews | Learn English | Social Hub | Links | New Posts | My India | Members | Polls | | | Active Members Today * R Pramod (199) * Ajay (121) * Abhinav (75)Last 7 Days * R Pramod (1735) * Sukhdev Singh (962) * Pramod (598)more... | Impact of Foreign Institutional Investors on Indian Stock Market Posted Date: Total Responses: 0 Posted By: hardeep Member Level: Silver Points/Cash: 10 | | CHAPTER I INTRODUCTION 1.1 INTRODUCTION 1.1.1 FOREIGN INSTITUTIONAL INVESTORS FII is defined as an institution organized outside of India for the purpose of making investments into the Indian securities market under the regulations prescribed by SEBI. ‘FII’ include “Overseas pension funds, mutual funds, investment trust, asset management company, nominee company, bank, institutional portfolio manager, university funds, endowments, foundations, charitable trusts, charitable societies, a trustee or power of attorney holder incorporated or established outside India proposing to make proprietary investments or investments on behalf of a broad-based fund. FIIs can invest their own funds as well as invest on behalf of their overseas clients registered as such...
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...Project Report On “DERIVATIVES – THE BEST TOOL IN INDIAN MARKET TO GET THE OPTIMUM RETURNS” ACKNOWLEDGEMENT We take this opportunity to place on record our grateful thanks & sincere gratitude to those who gave us valuable advice & inputs for our studies. Our study could not have been completed if we had not have been completed if we had not been able to get the reference material from the company. Whenever & whatever we present today has been made possible by true efforts & kind support of our project guide Mr. Akhilesh Rathi, Head, SNR Securities & Finance, Indore. We express our sincere regards & feel paucity of word to express our utmost gratitude toward him for providing us the necessary resources, worthwhile suggestions & constant guidance. We also like to express our thanks towards other staff members of SNR Securities & Finance who inspired us to put in our best efforts for the completion of the project. PREFACE Financial system is the mirror reflection of an economy. The performance of any economy to a large extent is dependent on the performance of the Financial Institution. Financial system plays an important role by mobilizing saving and allocating them to the most profitable activities, and enables society to make more productive use of its scarce resources. The Financial system consist of many institution, instruments, and markets. Financial Institution range from moneylender to banks, pension funds, insurance...
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...the market for derivative products, most notably forwards, futures and options, can be traced back to the willingness of risk-averse economic agents to guard themselves against uncertainties arising out of fluctuations in asset prices. By their very nature, the financial markets are marked by a very high degree of volatility. Through the use of derivative products, it is possible to partially or fully transfer price risks by locking-in asset prices. As instruments of risk management, these generally do not influence the fluctuations in the underlying asset prices. However, by locking in asset prices, derivative products minimize the impact of fluctuations in asset prices on the profitability and cash flow situation of riskaverse investors. The main function of derivatives is that they allow users to meet the demand for costeffective protection against risks associated with movements in the prices of the underlying. In other words, users of derivatives can hedge against fluctuations in exchange and interest rates, equity and commodity prices, as well as credit worthiness. Specifically, derivative transactions involve transferring those risks from entities less willing or able to manage them to those more willing or able to do so. Derivatives transactions are now common among a wide range of entities, including commercial banks, investment banks, central banks, fund mangers, insurance companies and other non-financial corporations. Participants in derivatives markets...
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...India Stock Market Volatility – An International Comparison M. T. Raju, Anirban Ghosh April 2004 Working Paper Series No. 8 Stock Market Volatility – An International Comparison M. T. Raju, Anirban Ghosh Working Paper Series No. 8 The views expressed in this paper are those of the authors and do not necessarily reflect those of the Securities and Exchange Board of India. We sincerely thank Shri G. N. Bajpai, Chairman, SEBI for his unlimited support and encouragement in conducting research work. But for him, it would not have been possible to bring out this paper timely. We also thank many of our colleagues for their comments and suggestions. Contents Foreword Acknowledgement SEBI Abstract 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. Stock Market Volatility: An International Comparison Methodology Analysis of Results Inter and Intra-day Volatility Intra-day Volatility and Developed Capital Markets Emerging Capital Markets Indian Market High and Low Volatility (Volatility Transmission) Extreme Volatility Analysis (India) Return Squared Volatility Return Squared Analysis Conclusion and Recommendation References SEBI Working Paper Series (i) (iii) (v) (vii) 1 4 8 11 12 13 13 14 15 15 16 17 19 Foreword During the past few years Indian Capital Market has undergone metamorphic reforms. Every segment of Indian Capital Market viz primary and secondary markets, derivatives, institutional investment and market intermediation has experienced impact of these changes. Our market, today...
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...Introduction to Stock Exchanges ------------------------------------------------- Meaning, purpose, working of stock exchanges in India; various terms used in stock exchanges, trading in stock exchanges, clearing and settlement, rolling settlement, online trading, internet trading, market indices, types of public issue Which is benchmark stock market index of India? How many securities are there in Nifty Index? How many securities are there in Sensex? Which index will have high volatility Nifty or BSE Midcap? What do you mean by primary market? ------------------------------------------------- What do you mean by secondary market? What do you mean by stock split? What do you mean by Bonus Issue? What do you mean by Buy Back? What do you mean by Right issue of shares? What are ADR’s? ------------------------------------------------- What is the difference in between IPO and FPO? Risk-Return analysis Risk meaning and Measurement – Types of Risk – Systematic, Unsystematic risk, Beta Coefficient, Alpha, CAPM theory etc. What is return? Expected rate of Return, computation formulae. Case studies on risk-return using standard deviation, variance, probability and other statistical tools. ------------------------------------------------- What is beta? ------------------------------------------------- What is cost of equity? ------------------------------------------------- What is WACC? ------------------------------------------------- ------------------------------------------------- ...
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...TRADING AND HEDGING AND INFORMATION ON INDEX FUTURES ( WITH REFERENCE TO THE BSE MODEL) Group members : Nishma Mehta- 68 Navti Narang- 72 Jaikrishna Patel- 80 Miloni Shah- 100 Nidhi Shah- 102 Karishma Kotian- 120 TRADING Trading Rules The Derivatives Trading at BSE takes place through a fully automated screen-based trading platform called DTSS (Derivatives Trading and Settlement System).The DTSS is designed to allow trading on a real-time basis. In addition to generating trades by matching opposite orders, the DTSS also generates various reports for the member participants. Order Matching Rules Order Matching takes place after order acceptance wherein the system searches for an opposite matching order. If a match is found, a trade is generated. The order against which the trade has been generated is removed from the system. In case the order is not exhausted further matching orders are searched for and trades generated till the order gets exhausted or no more match-able orders are found. If the order is not entirely exhausted, the system retains the order in the pending order book. Matching of the orders is in the priority of price and timestamp. A unique trade-id is generated for each trade and the entire information of the trade is sent to the relevant Members. Order Conditions The derivatives market is order driven i.e. the traders can place only orders in the system. Following are the order types allowed for the derivative products. These order types have Characteristics...
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