Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market
dc.contributor.author | Bhaumik, Sumon Kumar | en_US |
dc.contributor.author | Karanasos, Menelaos | en_US |
dc.contributor.author | Kartsaklas, A. | en_US |
dc.date.accessioned | 2009-11-17T17:02:30Z | |
dc.date.available | 2009-11-17T17:02:30Z | |
dc.date.issued | 2008-08-01 | en_US |
dc.identifier.other | RePEc:wdi:papers:2008-935 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/64397 | en_US |
dc.description.abstract | This paper investigates the issue of temporal ordering of the range-based volatility and volume in the Indian stock market for the period 1995-2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between volume traded before and after the introduction of futures and options trading. We find that in all three periods the impact of both the number of trades and the value of shares traded on volatility is negative. This result is in line with the theoretical argument that a marketplace with a larger population of liquidity providers will be less volatile than one with a smaller population. We also find that (i) the introduction of futures trading leads to a decrease in spot volatility, (ii) volume decreases after the introduction of option contracts and, (iii) there are signifcant expiration day effects on both the value of shares traded and volatility series. | en_US |
dc.format.extent | 405713 bytes | |
dc.format.extent | 1802 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.relation.ispartofseries | wp935 | en_US |
dc.subject | Derivatives Trading; Emerging Markets; Long-memory; Range-based Volatility; Value of Shares Traded | en_US |
dc.title | Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | William Davidson Institute | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/64397/1/wp935.pdf | |
dc.contributor.authoremail | Sumon.Bhaumik@brunel.ac.uk | en_US |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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