Price Effects of Introduction of Derivatives: Evidence from India

Venkata Chakrapani Chaturvedula and Bandi Kamaiah

The IUP Journal of Applied Economics, 2008, vol. VII, issue 5, pages 59-75

Abstract: : This study looks at the impact of derivatives listings on returns of the underlying assets. Employing event study methodology, the study finds significant and positive abnormal returns around futures and options listing announcement dates in the National Stock Exchange (NSE). The results show that market capitalization of stocks on an average increased for each stock in the sample from day 0 to day 10. The evidence obtained from the study support the ‘market completion hypothesis’ which is valid in the context of the US, the UK and other developed countries.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:icf:icfjae:v:07:y:2008:i:5:p:59-75

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