Industry Specific Volatility check on Derivatives Introduction : Indian Context.
Kannan, K.
Industry Specific Volatility check on Derivatives Introduction : Indian Context. - 157-170 p.
This paper examines the effect of derivatives on volatility of select securities of specific industries in Indian stock market to assess if any industry specific volatility pattern exists. This study is based on 21 stocks of six different industries of the Indian stock market which includes both derivative stocks and non-derivative stocks. These stocks are listed in the National Stock Exchange of India. GJR GARCH model was used to measure the volatility changes over the pre - introduction and post introduction period of derivatives. Among the seven stocks under consideration, all stocks except ACC had a decrease in volatility. Four derivative stocks had significant reduction in volatility. Compared to derivatives, non-derivatives, 4 industries namely, Auto-two and three wheeler, Cement, Cigarette, and Computer Software confirm the effect of derivatives while two industries namely, Banks - Private sector and Diversified, confirm the effect of industry specific factors.
Market volatility Stock exchanges Derivative securities GARCH model
Industry Specific Volatility check on Derivatives Introduction : Indian Context. - 157-170 p.
This paper examines the effect of derivatives on volatility of select securities of specific industries in Indian stock market to assess if any industry specific volatility pattern exists. This study is based on 21 stocks of six different industries of the Indian stock market which includes both derivative stocks and non-derivative stocks. These stocks are listed in the National Stock Exchange of India. GJR GARCH model was used to measure the volatility changes over the pre - introduction and post introduction period of derivatives. Among the seven stocks under consideration, all stocks except ACC had a decrease in volatility. Four derivative stocks had significant reduction in volatility. Compared to derivatives, non-derivatives, 4 industries namely, Auto-two and three wheeler, Cement, Cigarette, and Computer Software confirm the effect of derivatives while two industries namely, Banks - Private sector and Diversified, confirm the effect of industry specific factors.
Market volatility Stock exchanges Derivative securities GARCH model