Effect of futures trading on the stability of stock index returns: a case of BSE Sensex

Sathya Swaroop Debasish

International Journal of Monetary Economics and Finance, 2009, vol. 2, issue 1, 71-89

Abstract: This paper attempts an to investigate the effect of futures trading on the stability of returns on BSE Sensex by using daily observations from January 1996 to December 2007. Three statistical tests namely, Kolmogorov Smirnov 2-sample test, Wilcoxon Rank Sum test and Goldfeld Quandt tests are used. The study found that higher volatility of daily returns in post-futures period than in the pre-futures period but the volatility of monthly returns remained unchanged. Apart from the months May 2004 and May 2006, there is no evidence that monthly BSE Sensex volatility has increased after inception of the Futures trading.

Keywords: stock markets; BSE Sensex; India; conditional volatility; futures trading; parametric tests; stability; stock index returns; Bombay Stock Exchange. (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=23067 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:2:y:2009:i:1:p:71-89

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().