vioft2nntf2t|tblJournal|Abstract_paper|0xf4ffb99a1d000000707f040001000500 This paper attempts tocheck whether the spot market volatility variation is an act of derivatives or merely industry specific factors only. This study is based on 23 stocks of six different industries of the Indian stock market. Among the 23 stocks, 10 stocks are derivatives stocks and the remaining 13 are non-derivative stocks of National Stock Exchange of India. Volatility in the selected stocks was modelled with GJR GARCH model for both pre-introduction and post introduction period of derivatives as it measures asymmetric effect also in addition to volatility changes. Changes in volatility, asymmetric effect, and volatility pattern of the selected stocks were examined separately. It was found that all the derivative stocks except HUL and CIPLA had a reduction in volatility after the introduction of derivatives. Most of the Non-Derivatives stocks had also experienced reduced volatility. Further, an industry wise analysis was done to find the effect of industry specific factors influencing volatility. Among the six select industries, five industries’ stocks prove the effect of derivatives while one industry, Finance-Housing confirms the effect of industry specific factors.
K. Kannan1, G. Balamurugan2
The American College, India1, Mepco Schlenk Engineering College, India2
Derivatives, Volatility, Volatility Pattern, GJR GARCH, Asymmetry
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| Published By :
ICTACT
Published In :
ICTACT Journal on Management Studies
( Volume: 1 , Issue: 4 , Pages: 205-215 )
Date of Publication :
November 2015
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