Study on the Impact of Future and Options on Spot Market Volatility : A Case of S and PCNX Nifty Index (Record no. 28567)

MARC details
000 -LEADER
fixed length control field 01766pab a2200205 454500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140923b0 xxu||||| |||| 00| 0 eng d
040 ## - CATALOGING SOURCE
Transcribing agency Welingkar Institute of Management Development & Research, Mumbai
Original cataloging agency Welingkar Institute of Management Development & Research, Mumbai
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title ENG
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number
Item number Sar
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Sarangi Sibani P
245 ## - TITLE STATEMENT
Title Study on the Impact of Future and Options on Spot Market Volatility : A Case of S and PCNX Nifty Index
250 ## - EDITION STATEMENT
Edition statement 4
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc.
Name of publisher, distributor, etc. Apr 2007
Date of publication, distribution, etc. 0
300 ## - PHYSICAL DESCRIPTION
Extent 58-71 Pp.
490 ## - SERIES STATEMENT
Volume/sequential designation 13
520 ## - SUMMARY, ETC.
Summary, etc. Futures trading in India commenced in June 2000 with the introduction of stock index futures by the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). An important reason for the introduction of futures in India was the high trading volatility of the Indian stock market. This paper seeks to provide evidence on the impact of futures and options on spot market volatility. The sample data consist of daily opening and closing price returns of S & P CNX Nifty, Nifty Junior and S & P 500 Index from January 1, 1997 to March 31, 2005. This paper uses OLS and family of GARCH techniques to capture the time-varying nature of volatility and volatility clustering phenomenon in the data. The results suggest that there are no significant changes in the volatility of the spot market of the S & P CNX Nifty Index, but the structure of the volatility has changed to some extent. It has also found that the new information is assimilated into prices more rapidly than before, and there is a decline in the persistence of volatility since the inception of futures trading.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Future & Options,
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR8659.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR8659.pdf</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
a 25233
Holdings
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        Main Library Main Library 26/04/2007 0.00   Sar AR8659 23/09/2014 0.00 23/09/2014 Articles

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