摘要：The Purpose of the study is to examine the impact of derivative trading on stock market volatility. The sample data consist of closing prices of S&P CNX Nifty as well as closing prices of five derivative stocks and five non derivative stocks from April 1, 2002 to March 31, 2005. The study uses GARCH model to capture nature of volatility over time and volatility clustering phenomenon of data. The evidences suggest that there is no significant change in the volatility of S &P CNX Nifty, but the structure of volatility has changed to some extent. However, results show mixed effect in case of 10 individual stocks. These results can assist investors in making investment decision. It also helps to identify need for regulation.
