1.
Kapil Gupta
– Dr. Kapil Gupta Is Employed With Ptu, Punjab
2.
Balwinder Singh
– Prof. Balwinder Is Working With Gndu, Amritsar, India
Abstract
Present study analyzes the impact of futures trading on
cash market volatility and information dissemination
efficiency both on index as well as individual stocks
trading at National Stock Exchange of India. Surrogate
index has been used to control the impact of other
market reforms introduced in India. Returns in the
cash market have been observed to be asymmetric in
nature and it has been found that after introduction
of futures trading in the Indian capital market, cash
market volatility has decreased. It has also been found
that although information assimilation efficiency in the
cash market after introducing futures trading remains
inefficient but the role of new information in the price
discovery process has increased. Furthermore, it has
been observed that both volatility and daily returns are
different across various trading days of the week but
both returns and volatility are highly significant around
the settlement day of the futures contracts.
Keywords Conditional Volatility, Information Assimilation Efficiency, Settlement Effect, Information Spillover, Surrogate Index, Seasonality in Returns and Volatility
