Impact of Commodity Futures Trading on Volatility of Spot Prices
“IMPACT OF SPOT PRICE ON TRADING VOLUME,TRADED VALUE & VOLATILITY OF DAILY SETTLEMENT PRICES OF CURRENCY FUTURE IN NSE & MCX-SX ”
Shelly Singhal,
Assistant Professor
Maharaja Agrasen Institute of Management and Technology, Jagadhri, Haryana, India shelly2588@gmail.com, (M) +91-8950213125
GauravKamboj,
Assistant Professor
Maharaja Agrasen Institute of Management and Technology, Jagadhri, Haryana, India gaurav_bim@yahoo.co.in, (M) +91-9896005971
Abstract:It is almost two and a half years since the introduction of currency futures under the currency derivatives segment of Indian stock exchanges. The volumes have increased tremendously on NSE and its arch rival MCX-SX, the two dominant exchanges of trading in currency futures; while on BSE practically there have been no volumes in the last six months or so. Trading in currency futures had started by NSE on August 29, 2008. The purpose of this paper is to examine the rationale behind their introduction and to examine whether there is any impact of spot price on trading volume, value and volatility of daily settlement prices of currency future market.
The data for this purpose is taken from Stock exchange i.e. NSE & MCX-SX for five quarters The data is collected with respect to traded volume, traded value and trade price. Garch Model basically designed to study the volatility is used in the study. The results exhibited thatafter the introduction of the currency future the market is moving towards the efficiency due to less fluctuations & more efficient dissemination of information. That is good for the health of industry in India. But if we look at the future time period predictions then it can be seen that there will more up & downs in the currency future but along with that some more benefits can be raised.
KeyWords: Currency Futures, NSE,MCX-SX, Volatility, Garch Model
INTRODUCTION International experiences have established that the exchange traded currency futures contracts facilitate
Shelly Singhal,
Assistant Professor
Maharaja Agrasen Institute of Management and Technology, Jagadhri, Haryana, India shelly2588@gmail.com, (M) +91-8950213125
GauravKamboj,
Assistant Professor
Maharaja Agrasen Institute of Management and Technology, Jagadhri, Haryana, India gaurav_bim@yahoo.co.in, (M) +91-9896005971
Abstract:It is almost two and a half years since the introduction of currency futures under the currency derivatives segment of Indian stock exchanges. The volumes have increased tremendously on NSE and its arch rival MCX-SX, the two dominant exchanges of trading in currency futures; while on BSE practically there have been no volumes in the last six months or so. Trading in currency futures had started by NSE on August 29, 2008. The purpose of this paper is to examine the rationale behind their introduction and to examine whether there is any impact of spot price on trading volume, value and volatility of daily settlement prices of currency future market.
The data for this purpose is taken from Stock exchange i.e. NSE & MCX-SX for five quarters The data is collected with respect to traded volume, traded value and trade price. Garch Model basically designed to study the volatility is used in the study. The results exhibited thatafter the introduction of the currency future the market is moving towards the efficiency due to less fluctuations & more efficient dissemination of information. That is good for the health of industry in India. But if we look at the future time period predictions then it can be seen that there will more up & downs in the currency future but along with that some more benefits can be raised.
KeyWords: Currency Futures, NSE,MCX-SX, Volatility, Garch Model
INTRODUCTION International experiences have established that the exchange traded currency futures contracts facilitate