摘要：Derivative products like futures and options are important instruments of price discovery, portfolio diversification and risk hedging. This paper studies the impact of introduction of index futures on spot market volatility on S&P CNX Nifty using Bi-Variate E-GARCH technique. The evidence of this model shows that the volatility spillover between spot and futures markets is uni-directional from spot to futures and spot market dominates the futures market in terms of return and volatility. The volatility persistence and clustering is found to be significant and bidirectional at 5 % level of significance. At the practical level, a better understanding of the mean and variance dynamics of the spot and futures market can improve risk management and investment decisions of the market agents. The findings have implications for policy makers, hedgers and investors. The research contributes to literature for emerging markets such as India.
