Description
Serials Publications Pvt. Ltd. Financial Derivatives Empirical Analysis by Verma, Narender
Financial derivatives are hybrid financial instruments that have changed the dynamics of financial markets across the world. The purpose of the derivatives market is to reduce the volatility of the spot market, price discovery and bring market efficiency. Financial derivatives have been a keen area of research for researchers around the world. The book has covered empirical analysis on financial derivatives relating to the impact on the volatility of the spot market and analysing the price discovery function. The book has also presented a chapter on the primary survey conducted on 432 investors about their perception of the future of the derivatives market. The book is based on the analysis carried out in emerging economy India, which is the world’s fourth-largest derivatives market in the world in terms of volume. The book has discussed a detailed methodology of researching with data of derivatives market, so will be relevant to researchers and academicians. The book has six chapters. The period covered in the book includes data for 24 years, from 1996 to 2020. The chapters specifically discuss the nature of volatility and lead-lag relationship during the Global financial crisis and also during the COVID-19 pandemic. The analysis has been carried out using time series methodology with techniques like GARCH models, VAR, VECM, Granger Causality test, factor analysis. The recommendations given in the book are particularlyrelevant for policymakers, stock exchanges, portfolio managers, investors and researchers.