Capa do livro de Financial Derivatives: Implications for the Indian Capital Market
Título do livro:

Financial Derivatives: Implications for the Indian Capital Market

Impact & Implications of Financial Derivatives

LAP LAMBERT Academic Publishing (2014-02-15 )

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ISBN- 1 3:

978-3-659-51871-3

ISBN- 1 0:
3659518719
EAN:
9783659518713
Idioma do livro:
Inglês
Anotações e citações/ texto breve:
Capital market volatility is a significant indicator of effect of derivative trading. High volatility can cause mis-allocation of resources in spot market and lead to losses. In extreme case, it can destabilize the market to an extent that a crisis-like situation can develop. Hence, regulators and policy makers in India have always been interested in knowing the status of volatility, especially, after introduction of derivative trading in India. This work proposes to use GARCH and three asymmetric models viz., TGARCH, EGARCH, PGARCH models to evaluate the long-term impact and implications of derivatives. It gives a comprehensive analysis of impact of derivatives and its expiration on all the three popular variables of capital market, viz., return, volume and volatility using both primary and secondary data. Not only this, we also explore the impact on inter-play of these variables, i.e., we also explore the volume-return link, volume-volatility link and risk-return relationship.
Editora:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
Por (autor):
Sunita Narang
Número de páginas:
264
Publicado em:
2014-02-15
Stock:
Disponível
Categoria:
Métodos de pesquisa social empírica e qualitativa
Preço:
82.9 €
Palavras chave:
Sub-Prime Crisis, EGARCH, TGARCH, conditional volatility, Indian Capital Market, PGARCH, Risk-return relationship, Expiration Effect, National Stock Exchange of India, GARCH-In-Mean Models, Leverage effect

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