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- W3153063721 abstract "The issues regarding regulation and the impact of introduction of futures on cash market are under debate in developing and developed countries. This study investigates the role of index futures on the stability aspect of underlying spot market. Specifically, this study checks the impact of introduction of index futures and their respective impact on the cash spot markets’ volatility and market efficiency by using the data of spot index of emerging economies (i.e., BRICS). The equal pre- and post-futures data is used for analysis. An AR (1) augmented GJR-GARCH approach with GED is used to estimate the level of market efficiency and volatility in underlying stock market. This finding suggests presence of volatility spot market post introduction of futures in spot market. On the other hand, the study presents the significant increment in market efficiency of all stocks of BRICS except Nifty index of India. These results suggest that the relationship exists between market efficiency and volatility, which implies that markets will have to bear cost (in terms of increase in volatility) for potential gains (increase in level of market efficiency)." @default.
- W3153063721 created "2021-04-26" @default.
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- W3153063721 date "2018-11-15" @default.
- W3153063721 modified "2023-09-28" @default.
- W3153063721 title "The Impact of Index Futures on Market Efficiency and Volatility of Spot Index: An Empirical Evidence from Emerging Economies (BRICS)" @default.
- W3153063721 hasPublicationYear "2018" @default.
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