Futures trading, spot price volatility and structural breaks: Evidence from energy sector

The present study empirically examines the impact of Stock Futures on India’s underlying Energy Sector Stocks by incorporating the Structural breaks in the AR (1)-GARCH (1, 1) model. Although the issues relating to the effect of Derivatives trading on Cash Market Volatility have been empirically discussed in two ways: by evaluating Cash Market Volatilities during the Pre-and Post-Derivatives trading periods and, secondly, by determining the influence of Derivatives trading on the conduct of Cash Markets by comparing it with proxies.
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Futures trading, spot price volatility and structural breaks: Evidence from energy sector