Impact of Derivative Markets on Spot Market Volatility
Bibliographic Data
| ID | 22197221 |
|---|---|
| Authors | G Baladevaguru (ASA College), Ragul Gandhi S (National College of Arts) |
| Year | 2026 |
| Volume | 7 |
| Issue | 10s |
| Publication date | 2026-05-31 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | ShodhKosh: Journal of Visual and Performing Arts (JOURNAL) |
| Journal identifiers | ISSN: 2582-7472 • E-ISSN: 2582-7472 |
| Publisher | Granthaalayah Publications and Printers (PUBLISHER • IN) |
| DOI | 10.29121/shodhkosh.v7.i10s.2026.8787 |
| OpenAlex | W7166031726 |
| Language | EN |
| References cited | 11 |
This study examines the impact of derivative markets on spot market volatility in India with reference to futures and options trading. Using secondary time-series data and the GARCH(1,1) model, the analysis evaluates volatility behavior across the whole study period and selected pre-opening and post-opening sub-periods. The results show significant ARCH and GARCH effects, confirming the presence of volatility clustering and persistence in market returns. The findings further indicate that the introduction of derivatives altered the volatility transmission process in the underlying spot market. Overall, the study suggests that derivative trading has a meaningful influence on market volatility, information flow, and price behavior, making volatility modeling essential for investors, regulators, and policymakers
Derivatives market · Forward volatility · Futures contract · Spot contract · Spot market · Volatility clustering · Volatility smile · Volatility swap · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Risk Management in Financial Firms
| Highly cited | No |
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