Impact Of Derivative Trading On Currency Market Volatility In India
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Author | : Saurabh Singh |
Publisher | : |
Total Pages | : 13 |
Release | : 2015 |
Genre | : |
ISBN | : |
The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Euro. The data used in this paper comprises of daily exchange rate of Euro in terms of Indian rupees for the sample period April 2006 to December 2014. To explore the time series properties Unit Root Test have been employed and to study the impact on underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction of currency futures trading has helped in reducing the exchange rate volatility of the foreign exchange market in India. Further, the results are also indicative of the fact that the importance of recent news on spot market volatility has increased and the persistence effect of old news has declined with the introduction of currency futures trading.
Author | : Saurabh Singh |
Publisher | : |
Total Pages | : 17 |
Release | : 2014 |
Genre | : |
ISBN | : |
The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Pound. The data used in this paper comprises of daily exchange rate of Pound in terms of Indian rupees for the sample period April 2006 to December 2013. To explore the time series properties Unit Root Test and ARCH LM test have been employed and to study the impact on underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction of currency futures trading has helped in reducing the exchange rate volatility of the foreign exchange market in India. Further, the results are also indicative of the fact that the importance of recent news on spot market volatility has decreased and the persistence effect of old news has declined with the introduction of currency futures trading.
Author | : Dr. Susan Thomas |
Publisher | : TATA McGraw-Hill Publishing Company |
Total Pages | : 288 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : |
Collection of articles presented at the First Indian Derivatives Conference, on December 10-12, 1997, organised by Invest India Economic Foundation.
Author | : Dr. Govind Patra |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
Genre | : |
ISBN | : |
This work is an endeavor to explore the relationship of Lag between future & underlying market, ie. Spot in foreign exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is comprised of both analytical and empirical. The daily exchange rates of US Dollar and Indian Rupee (INR) were collected over some time from 30th January 2015 up to 23rd November 2020. The presented study has been worked out in four phases. First is to get (Augmented Dickey-Fuller), unit root and stationarity tests PP (i.e., Philips- Perron) & Kwiatkowski Phillips Schmidt-Shin) is being applied to check time series data stationarity. Second, to get cointegration between the futures and spot market tests (Johansen's Cointegration Test) was used. Granger Causality and Vector error correction models are used to get the lag relationship between futures and spot markets. The results depict the long-run relationship between the spot market and futures market, and the futures market is seen as leading in the empirical analysis of this paper. From the perspective of Investors, hedgers, and Policy Maker, Currency Futures has more helpful information to work further.
Author | : Saurabh Singh |
Publisher | : |
Total Pages | : 9 |
Release | : 2016 |
Genre | : |
ISBN | : |
The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Euro. The data used in this paper comprises of daily exchange rate of Euro in terms of Indian rupees for the sample period April 2005 to March 2015. To explore the time series properties Unit Root Test and ARCH LM test have been employed and to study the impact on underlying volatility GARCH (1,1) model has been employed. The results indicate that the introduction of currency futures has not been successful in reducing the volatility of the foreign exchange market in India.
Author | : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Banks and banking, Central |
ISBN | : 9789291319626 |
Author | : Lawrence Harris |
Publisher | : |
Total Pages | : 50 |
Release | : 1989 |
Genre | : Stocks |
ISBN | : |
Author | : Milan Nedeljkovic |
Publisher | : International Monetary Fund |
Total Pages | : 35 |
Release | : 2017-01-24 |
Genre | : Business & Economics |
ISBN | : 1475571038 |
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the first two moments of the real/dollar exchange rate. As predicted by theory for the case of negligible convertibility risk, the impact of spot market intervention in our baseline sample is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal.
Author | : Great Britain. Parliament. House of Lords |
Publisher | : |
Total Pages | : 4 |
Release | : 1994 |
Genre | : |
ISBN | : 9780108736445 |
Author | : Giles Jewitt |
Publisher | : John Wiley & Sons |
Total Pages | : 629 |
Release | : 2015-06-29 |
Genre | : Business & Economics |
ISBN | : 1118967453 |
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