Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.

Download or read book Dynamic Relationship Between Futures Trading and Spot Price Volatility written by Rahuldeb Das and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, an attempt has been made to identify the relationship between the spot price and the level of futures trading in the Indian commodity market using Granger causality test. For a better explanation of causality, the procedure of forecast error variance decomposition has been used. The study indicates that for most of the commodities there is a causal relationship between unexpected futures trading volume and spot price volatility. Furthermore, there is a weak form of causality between spot price volatility and unexpected futures open interest.

Download or read book Studies in International Economics and Finance written by Naoyuki Yoshino and published by Springer Nature. This book was released on 2022-03-30 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: This festschrift volume presents discussions on contemporary issues in international economics and finance. It is aimed to serve as a reference material for researchers. There are two broad sections of the book -- International Macroeconomics and International Finance. The chapters in the International Macroeconomics section discuss critical topics like aggregate level macro model for India with a new Keynesian perspective, balance of payments, service sector exports, foreign exchange constraints for import demands, foreign direct investment and knowledge spill over, the relationship between forex rate fluctuation and investment, Institutional quality-trade openness-economic growth nexus, currency crises and debt-deficit relationship in the BRICS countries in the backdrop of COVID-19. Apart from these, various analytical issues related to macroeconomic policies are also covered in this section. The topics discussed includes the nature of forex market interventions, the issue of disinvestment and privatization, changing nature of fiscal policy, the inflation-growth nexus, macroeconomic simulation modelling, measuring core inflation, central bank credibility, monetary policy, inflation targeting, Infrastructure, trade, unemployment and inequality nexus. In the International Finance section, topics such as COVID-19 induced financial crisis, commodity futures volatility, stock market connectivity, volatility persistence, determinants of sovereign bond yields, FII and stock market volatility, cryptocurrency price formation, financialization of Indian commodity market, and a Keynesian view of the financial crisis are discussed. Overall, thirty two chapters in the volume discuss cutting edge research in the areas of the two sections. A tour de force... a lucid guide to some of the diverse and complex issues in International Macroeconomics and Finance. This collection of scholarly works is a fitting tribute to respected Prof. Bandi Kamaiah and his enviable academic contributions. - Prof. Y V Reddy, Former Governor, Reserve Bank of India This volume comprising thoughtful essays by our leading scholars on some of important policy issues that India is facing is indeed a rich tribute to Professor Bandi Kamaiah . This book will greatly benefit the academic community as well as our policy makers. - Prof. Vijay Kelkar, Chairman, 13th Finance Commission of India; Chairman, India Development Foundation, Mumbai, India Noted economists from India and abroad gather to apply the rigorous searchlight that Professor Bandi Kamaiah used so effectively in his career. Major current topics in macroeconomics and international finance are effectively explored in the volume. - Prof. Ashima Goyal, Emeritus Professor, Indira Gandhi Institute of Development Research, Mumbai, India; and Member, Monetary Policy Committee of Reserve Bank of India This volume of 32 papers in macroeconomics, international economics, and international finance is intended as a tribute to the eminent econometrician , Prof B Kamaiah. Post-graduate students and researchers will find much valuable literature in the volume, which is a fitting tribute to Prof Kamaiah. The editors and authors deserve rich compliments. - Prof. K L Krishna, Former Director, Delhi School of Economics, New Delhi, India I am so happy to hear that Dr. Kamaiah's colleagues and ex-students are bringing out a special volume of articles in his honor. Nothing can be more appropriate. Dr. Kamaiah, being a man of tremendous publications, deserves this tribute. I wish all the luck and success to the new book. - Prof. Kishore Kulkarni, Distinguished Professor of Economics, Metropolitan State University of Denver, USA

Download or read book Maturity and Volume Effects on the Volatility written by Pratap Chandra Pati and published by . This book was released on 2007 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study attempts to examine the volatility dynamics and investigate the Samuelson Maturity Hypothesis, a source of non-stationary in volatility of futures price in the context of Indian Futures Market, by taking Nifty Index Futures traded on NSE. The data sample consist of daily closing price, volume and open interest of Nifty index futures from the period January 1, 2002 to December 29, 2005 for near month contract with 1009 sample data points. We construct data sample for time-to-maturity by rolling or switching over to the next maturing contract four days before the expiration date. For empirical analysis, ARMA-GARCH, ARMA-EGARCH models have been estimated. The empirical evidence suggests that there is time-varying volatility, volatility clustering and leverage effect in Indian futures market. This study does not provide support for the Samuelson Hypothesis in Indian futures market. The coefficient of the time-to-maturity variable is found to be insignificant. With respect to volume-volatility relationship, the results indicate a clear acceptance of Mixtures of Distribution Hypothesis i.e. there is positive contemporaneous relationship between futures prices volatility and volume. Hence this study concludes that time-to-maturity is not a strong determinant of futures price volatility, but rate of information arrival proxyed by volume and open interest are the important sources of volatility.

Download or read book The Economics of Derivatives written by T. V. Somanathan and published by Cambridge University Press. This book was released on 2015-03-02 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: While most books on derivatives discuss how they work, this book looks at the contributions of derivatives to overall economic well-being. It examines both the beneficial and adverse effects of derivatives trading from the perspectives of economic theory, empirical evidence and recent economic history. Aiming to present the concepts in a fair, non-ideological, non-mathematical and simple manner, and with the authors' own synthesis, it draws on economic insights from relevant work in other disciplines, particularly sociology and law. The book also presents some new theoretical ideas and recommendations towards a pragmatic and practical approach for policy-makers. The ultimate objective is to provide a basic conceptual framework which will help its readers form a judgement on whether, when and how derivatives are beneficial or harmful to the economy.

Download or read book Futures Trading Impact on Stock Market Volatility and Hedging Efficiency written by Chandra Bhola and published by Ary Publisher. This book was released on 2023-06-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the impact of futures trading on stock market volatility and hedging efficiency, focusing on the S&P CNX Nifty index and select stocks in India. By conducting a comprehensive analysis, this research aims to examine the relationship between futures trading activity and its influence on market volatility and the effectiveness of hedging strategies. The study utilizes empirical methods to evaluate the effects of futures trading on stock market volatility. It analyzes the S&P CNX Nifty index, which represents the broader market, and specific individual stocks to understand how futures trading impacts price fluctuations and overall market stability. Furthermore, the research assesses the hedging efficiency of futures contracts as risk management tools. It examines whether investors can effectively hedge their positions and reduce portfolio risk through futures trading. By evaluating the effectiveness of hedging strategies in the context of the Indian stock market, this study provides valuable insights for market participants. Overall, this study delves into the impact of futures trading on stock market volatility and hedging efficiency in India. By examining the S&P CNX Nifty index and select stocks, it aims to shed light on the relationship between futures trading and market dynamics. The findings contribute to the understanding of risk management practices and assist investors in making informed decisions related to hedging strategies in the Indian stock market.

Download or read book Emerging Trends in Finance written by P. Chellasamy and published by Archers & Elevators Publishing House. This book was released on 2014 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting Financial Markets in India written by Rudra Prakash Pradhan and published by Allied Publishers. This book was released on 2009 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers presented at the Forecasting Financial Markets in India, held at Kharagpur during 29-31 December 2008.

Download or read book Technical Analysis of the Financial Markets written by John J. Murphy and published by Penguin. This book was released on 1999-01-01 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: John J. Murphy has now updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.

Download or read book Futures Trading and Spot Market Volatility in India written by Pretimaya Samanta and published by LAP Lambert Academic Publishing. This book was released on 2012-01 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives in the securities markets were launched mainly with the twofold objective of risk transfer and to enhance liquidity in the underlying cash market and thereby ensuring better market efficiency. In the late 1990s, various derivative instruments were introduced in the equity segment of major markets worldwide. It further complicated the volatility behavior of these markets as derivatives opened new avenues for hedging and speculation. Since futures trading encourage speculation, the debate on the impact of speculators on the cash market volatility intensified with the introduction of futures trading. This constitutes the main research problem of this study and the objectives have been set out in accordance to this phenomenon of the derivatives market. The current research work examines the effect of the introduction of futures trading on the volatility of the underlying cash market in India. The standard univariate GARCH model has been used to capture the time-varying nature of volatility and volatility clustering phenomenon in the data. This research study adds a new dimension to the existing literature on futures trading and will be useful to all the market participants.

Download or read book Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying asset. This study uses the introduction of single stock futures (SSF) listed on the National Stock Exchange of India to test the influence on the volatility of the underlying stock returns. An interesting aspect of the Indian SSF market is that for many of the stocks the volume traded on the SSF market is higher than that of the underlying stock market. Results support the hypothesis that introduction of single stock futures reduce the volatility of the returns of the underlying stock.

Download or read book Stock Market Volatility in India written by H. Kaur and published by Deep and Deep Publications. This book was released on 2002-09 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Structure Volatility and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fintech Ecosystem Transformation and Market Dynamics written by Ms.Veenu Joy Ms.ShivakamiRajan and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Discovery and Volatility Spillover in the Agricultural Commodity Futures Market in India written by M Ajoy Kumar and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2002, when the government permitted futures trading on most of the commodities and allowed setting up of national level exchanges, trading in agricultural commodities grew very fast with soy oil, soy bean, mustard seed and chana constituting the major share in 2013. The current study attempts to analyze the price behavior in terms of returns as well as volatility between the spot and futures markets for these four commodities. The study uses a combination of VECM and EGARCH models to analyze the data. The study finds existence of long-term equilibrium relationship between the futures and spot prices, with the futures leading the spot. In the short run, futures returns seem to have a stronger impact on the spot returns in most of the commodities.

Download or read book PROCEEDINGS OF NATIONAL SEMINAR ON MULTIDISCIPLINARY RESEARCH AND PRACTICE VOLUME 2 written by Dr. M. Kanika Priya and published by JEC PUBLICATION. This book was released on with total page 1220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Conference Proceedings of the National Seminar entitled “Multidisciplinary Research and Practice” compiled by Dr. M. Kanika Priya records various research papers written by eminent scholars, professors and students. The articles range from English literature to Tamil literature, Arts, Humanities, Social Science, Education, Performing Arts, Information and Communication Technology, Engineering, Technology and Science, Medicine and Pharmaceutical Research, Economics, Sociology, Philosophy, Business, Management, Commerce and Accounting, Teacher Education, Higher Education, Primary and Secondary Education, Law, Science (Mathematics, Physics, Chemistry, Zoology, Botany), Agriculture and Computer Science. Researchers and faculty members from various disciplines have contributed their research papers. This book contains articles in Three languages, namely: English, Tamil and Hindi. As a editor Dr. M. Kanika Priya has taken up the tedious job of checking the validity and correctness of the research work in bringing out this conference proceedings in a beautiful manner. In its present shape and size, this anthology will, hopefully, find a place on the library shelves and enlighten the academics all round the world.

Download or read book Proceedings Of The International Conference 2005 Emerging Securities Market Challenges And Prospects Vol Iii written by and published by . This book was released on 2006 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: These four volumes contain the papers presented at the Proceedings of the International Conference, 2005, to debate on the current state of affairs of the securities market. All four volumes include the opinions of investors, regulators, intermediaries an