Industry Specific Volatility check on Derivatives Introduction : Indian Context.
Material type: TextDescription: 157-170 pSubject(s): In: AGRAWAL, J.D. Finance IndiaSummary: 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.Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Journal Article | Main Library | Vol 32, Issue 1/ 5558805JA7 (Browse shelf(Opens below)) | Available | 5558805JA7 | |||||
Journals and Periodicals | Main Library On Display | JP/FIN/Vol 32, Issue 1/5558805 (Browse shelf(Opens below)) | Vol 32, Issue 1 (06/04/2021) | Not For Loan | Finance India - March 2018 | 5558805 |
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Vol 32, Issue 1/ 5558805JA3 State of the Economy : An Analytical Overview and Outlook for Policy. | Vol 32, Issue 1/ 5558805JA5 The Behaviour of Macro and Micro Economic variables and the impact on Systematic Risk of Non-banking Finance Companies. | Vol 32, Issue 1/ 5558805JA6 Performance of select Oil and Petroleum Companies in India with respect to Profitability and Liquidity Analysis. | Vol 32, Issue 1/ 5558805JA7 Industry Specific Volatility check on Derivatives Introduction : Indian Context. | Vol 32, Issue 1 5558805JA8 Credit Management in Banks in India : Sector-wise Analysis. | Vol 32, Issue 1/ 5558805JA9 Investors preference in Telangana State towards different types of Mergers. | Vol 32, Issue 2/ 5559316JA1 The Theory of Money, Wealth and Efficient Currency Markets: Modeling M5 as Money Supply with Crypto-Currency. |
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.
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