II
Aaron Low, JayaramMuthuswamy, SudiptoSarkar and Eric Terry (202)
Multi-period hedging with futures contracts,The Journal of
Futures Markets, Vol.22, No.12, pp. 1179-1203.
AbdulnasserHatemij. J and Eduardo Roca (2006), Calculating the optimal
hedge ratio- Constant, Time varying and the Kalman Filter
approach, Applied Economics Letters, Vol.13, No.3, pp. 293-299.
AbhayAbhyankar(1998), Linear and nonlinear Granger Causality- Evidence
from the U.K Stock Index Futures markets, The Journal of
Futures Markets, Vol.18,, No.5, pp.519-540.
AggarwalReena, (1988), “Stock Index Futures and Cash Market Volatility”,
Review of Futures Markets, 7(2), 290-299.
Alan E.H.Speight, David G. McMillan and OwainA.P.Gwilym(2000),
Intraday Volatility Components on FTSE-100 stock index futures,
The Journal of Futures Markets, Vol.20, No.5, pp.425-444.
Alexander Kurov and Dennis .J Lasser(2004), Price Dynamics in the Regular
and E-Mini Futures Markets, Journal of financial and Quantitative
Analysis, Vol.39, No.2, pp.365- 384.
Alex Frino, Terry Walter and Andrew West (2000), The lead- lag Relationship
between equities and stock index futures markets around
information release, The Journal of Futures Markets, Vol.20,
No.5, pp. 467- 487.
Alexander A. Kurov and Dennis J. Lasser(2002), The Effect of the
Introduction of Cubes on the NASARDQ-100 index spot- futures
pricing relationship, The Journal of Futures Markets, Vol.22,
No.3, pp.197-218.
Alexander Van Haastrecht, Roger Lord, AntoonPelsser and David Schrager,
Pricing long- maturity equity and FX derivatives with stochastic
interest rates and stochastic volatility, ssrn.com,pp.1-28.
Allan Hodgson and John Okunev(1992), An alternative Approach for
determining hedge ratios for futures contracts, Journal of Business
Finance and Accounting, Vol. 19, No.2, pp. 211-224.
Amirik Singh and ArunUpneja(2008), The determinants of the decision to
usefinancial derivatives in lodging industry, Journal of Hospitality
& Tourism Research, Vol.32,No.4, pp.423-447.
Amir Alizadesh and Nikos Nomikos(2004), A Markov Regime Switching
approach for hedging stock Indices, The Journal of Futures
Markets, Vol.24, No.7, pp. 649-674.
III
Andreas A. Jobst(2008), The development of equity derivative markets,
International Journal of Emerging Markets, Vol.3, No.2, pp. 163-
180
Andy C.N.Kan(2004) Resiliency ability of the underlying spot market after the
introduction of index of index futures contracts- Evidence from
Hong Kong, Journal of Emerging Market Finance, Vol.3,No.3
pp.269-283.
Andreas.A.Jobst(2007),The development of Equity derivatives Market in
Emerging Asia, ssrn.com/Abstract-952033, pp.1-9.
Andrew C. Szakmary and Dean B. Kiefer (2004), The Disappearing January/
Turn of the Year effect- Evidence from stock index futures and
cash markets, The Journal of futures Markets, Vol.24, No.8,
pp.755- 784.
Andrew W. Alford and James R. Boatsman(1995), Predicting long term stock
return volatility, implications for accounting and valuation of
Equity Derivatives, The Accounting Review, Vol.70, No.4,pp. 599-
618.
Ang James and Yingmei Cheng, (2005), “Single Stock Futures: Listing
Selection and Trading Volume”, Finance Research Letters, 1,
March, 30-40.
Anjali Choksi(2010), Derivatives trading in Indian stock Market- Investors
perception, Indian Journal of Finance, pp. 50-58.
Anju Thakur, Rahul Karkun and Sameer Kalra(2003),Financial derivatives
market and its development in India, ssrn.com, pp. 1-8.
Aline Muller and Willem F.CVerschoor(2008), The value- relevance of
currency derivatives disclosure, ssrn.com/ abstract- 1091263, pp
1-46.
AlperOzum and ErmanErbaykal(2009), Detecting risk transmission form
futures to spot market without data stationarity-Evidence form
Turkey’s Markets, The Journal of risk Finance, Vol.10, pp.365-
376.
Ansew.S. Ahmed, Anne Beatty and Corolyn Takeda (1997), Evidence on
interest rate risk management and derivatives usage by
commercial Banks, ssrn.com, pp. 1-27.
Antoniou Antonios and Phil Holmes, (1995), “Futures trading, information and
spot price volatility: Evidence for the FTSE -100 stock index
futures contract using GARCH”. Journal of Banking and Finance,
19, 117-129.
IV
Antoniou Antonios, Phil Holmes and Richard Priestley, (1998), “The Effects
of Stock Index Futures Trading on Stock Index Volatility: An
Analysis of the Asymmetric Response of Volatility to News”,
Journal of Futures Markets, 18(2), 151-166.
AnuradhaSivakumar and RunaSarkar(2009), Corporate hedging for foreign
Exchange risk in India, rbi.org, pp. 1-17.
Anurag.N.Banerjee(2007), A method of estimating the average derivatives,
Journal of Econometrics, Vol.136, pp. 65-88.
AsaniSarkar(2006), Indian derivatives Market, The Exford Companion to
Economics in India, pp.1-9.
Ash Narayan Sha(2009), Stock market seasonality- A study of the Indian stock
market, ssrn.com, pp.1-24.
Ash Narayan Sha and G.Omkarnath(2007) Derivatives trading and volatility,
ssrn.com, pp.1-15.
Asjeet.S. Lamba(2003), An analysis of the dynamic relationships between South
Asia and developed equity markets, ssrn.com, pp. 1-29.
AysegulAtes and Kate Phylaktis(2010) Related securities and price discovery
on floor versus screen based trading systems-A analysis of the
foreign exchange futures markets, Working papers series, Social
Science Research Net work .com,pp.1-32.
Bandivadekar, S. and Ghosh, S. (2005), “Derivatives and volatility on Indian
stock markets”, Reserve Bank of India, Occasional Papers.
Becketti, Sean; Roberts, Dan J. (1990), “Will Increased Regulation of Stock
Index Futures Reduce Stock Market Volatility?,” Economic
Review, Vol 75(6), pp 33-46.
Bernadette Minton, Rene.M.Stulz and Rohan Williamson (2006), “How much
do banks use credit derivatives to reduce risk”, Fisher College of
Business –working paper series,ssrn.com,Vol.03, No.001, pp. 1-
40.
Bessembinder, Hendrik and Paul J. Seguin, (1993), “Price Volatility, Trading
Volume, and Market Depth: Evidence from Futures Markets,
Journal of Financial and Quantitative Analysis, 28(1), 21-39.
Bhaumik.S, Karanasos.M, and A. Kartsaklas(2008), Derivatives trading and
the volume- volatility link in the Indian stock market,
ssrn.com/abstract- 1344465,pp.1-34.
V
Bollerslev, T., and Wooldrige, J.M. (1992), “Quasi-maxium likelihood
estimation and inference in dynamic models with time varying
covariances”, Econometric Reviews 11: 143–172.
Bollerslev, Tim (1986), “Generalized Autoregressive Conditional
Heteroscedasticity,” Journal of Econometrics, Vol 31(3), pp 307-
327.
Bologna, P and L. Cavallo (2002): “Does the Introduction of Stock Index
Futures Effectively Reduce Stock Market Volatility? Is the
‘Futures Effect’ Immediate? Evidence from the Italian stock
exchange using GARCH”, Applied Financial Economics, 12, 183-
192.
Brace Allan and Hodgson Nicholls, (1991), “The Impact of Index Futures
Markets on Australian Share-market Volatility”, Journal of
Business Finance and Accounting, 18, 267-280.
Brajesh Kumar &Priyanka Singh (2009), The dynamic relationship between
stock returns- Trading volume and volatility- Evidence from
Indian stock market, ssrn.com pp. 1-28.
Brent McClintock(1996),International Financial instability and the financial
derivatives Markets, Journal of Economic issue, Vol.30, No.2,
pp.5- 13.
Brian.J. Henderson and Neil D. Pearson (2004), Patterns in the pay off of
structured equity derivatives, ssrn.com, pp. 1-50.
Brorsen, B. Wade (1991), “Futures Trading, Transaction Costs, and Stock
Market Volatility,” Journal of Futures Markets, Vol 11(2), pp 153-
163.
Bruce Mizrach(2009), Jump and c-Jump risk in subprime home equity
derivatives, ssrn.com/abstract-1089274,pp.1-50.
Butterworth D, (2002), “The impact of futures trading on underlying stock index
volatility: The case of the FTSE Mid 250 contract,” Department of
Economics, University of Durham.
Catherine M.Daily and Dan R. Dalton (2003), Are Director equity policies
exclusionary, Business ethics quarterly, Vol.13,No.4, pp.415-432.
Charles J. Cunny (2002), Spread futures, why derivatives on derivatives,
ssrn.com, pp. 1-24.
ChetanSwarup, MuditMetha and Amalan-Chaudhuri(2008), Pricing of
option on Defty, ssrn.com, pp.1-19.
VI
Christos Floros and Dimitrios .V Vougas(2008), The efficiency of Greek stock
index futures markets, Managerial Finance, Vol.34, No.7, pp.498-
519.
Christos Floros(2007), Price and open interest in Greek stock index futures
market, Journal of Emerging Markets Finance, Vol.6, No.2,
pp.191-202.
Christopher Geczy, Bernadette A. Minton and Catherine Schrand(1996),
Why firms use currency derivatives, The Journal of Finance, pp.1-
50.
Choi, Hong and Avanidhar Subrahmanyam, 1994, Using intraday data to test
the effects of index futures on the underlying stock markets,
Journal of Futures Markets 14, 293-322.
Claudio Albanese and Adel Osseriran(2007), Moments Methods for exotic
volatility derivatives, ssrn.com/ abstract- 1021401, pp. 1-16.
Claudio Albanese and Alicia Vidler(2007), A structural model for credit- equity
derivatives and Bespoke CDOS, ssrn.com, pp 1-27.
CoenradVrolijk(1997), Derivatives effect on monetary policy, IMF Working
Papers, Vol.97, No.121, pp. 1-56.
Coleman T.F,Kim, Y.Li, M.Patron(2007), Robustly hedging variable annuities
with guarantee under jump and volatility risks, The Journal of Risk
and Insurance, Vol.74, No.2, pp.347-376.
DebasisBagchi(2009), Global stock futures –A diagnostic analysis of a selected
emerging and development markets with special reference to
India, ssrn.com, pp. 1-17.
DamianoBrigo and Naoufel El- Bachir(2006) Credit derivatives pricing with a
smile – extended Jump Stochastic Intensity Model, ICMA Centre
discussion papers in France, Vol.13, pp. 1-21.
Darrat, A.F., and S.Rahman (1995), “Has futures trading activity caused stock
price volatility?,” Journal of Futures Markets, (15), 537 – 557.
David G. McMillan and NumanUlku(2009) Persistend Mispricing in a recently
opened emerging index futures markets-Arbitrageurs invited,The
Journal of Futures Markets, Vol. 29, No.3, pp. 218-243.
Demitris. F. Kenourgios(2004), Price discovery in the ATHENS derivatives
exchange- Evidence for the FTSE/ASE-20 futures markets,
Economic and Business Review, Vol.6, No.3, pp.229-243.
VII
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo (2001), Hedging
derivatives securities and incomplete markets- An E-arbitrage
approach, Operation Research, Vol.49,No.3,pp.372-397.
DimitrisKenourgios, AristeidsSamitas and PanagiotisDrosos(2008), Hedge
ratio estimation and hedging effectiveness – the case of the S&P
500 stock index futures contract, International Journal of Risk
Assessment and Management, Vol.9, No.1/2,pp.121-134.
Donald Lien and Y.K.Tse(2002), some recent development in futures hedging,
Journal of Economic Survey, Vol.16, No.3, pp.357-396.
Donald Lien &YiuKuenTse(1999), Fractional cointegration and futures
hedging, The Journal of futures markets, Vol.19, No.4, pp. 457-
474.
Donald Lien &keshabShrestha(2007), An empirical analysis of the relationship
between hedge ratio and hedging horizon using Wavelet analysis,
The Journal of Futures Markets, Vol.27, No.2, pp. 127-150.
Dutt H R and Wine I L, (2003), “On the adequacy of single-stock futures
margining requirements”, Journal of Futures Markets, 23, 989-
1002.
Edwards Franklin R, (1988a), “Does Futures Trading Increase Stock Market
Volatility?” Financial Analysts Journal, (Jan/Feb), 63-69.
Edwards Franklin R, (1988b), “Futures Trading and Cash Market Volatility:
Stock Index and Interest Rate Futures”, Journal of Futures
Markets, 8(4), 421-439.
Edwards, Franklin R (1988), “Does Futures trading increase stock market
volatility?,” Financial Analysts Journal, Jan/Feb, 63-69.
Edwin D Maberly, David S Allen and F Gilbert, (1989), “Stock Index Futures
and Cash Market Volatility”, Financial Analysts Journal,
(Nov/Dec), 75-77.
Eli. M.Remolona and Ilhuiock Shin (2008) Credit derivatives and structured
credit, Nascent Markets of Asia and the Pacific, BIS Quarterly
Review, pp. 57- 65.
Elijah Brewer, William E.Jackson and James.J.Moser(1996), Alligators in the
swap- the impact of derivatives on the financial performance of
the depository institutions ,Journal of Money, Credit and Banking
,Vol.28, No. 3, Part.2, pp. 482-497.
Emmanuel Derman(2001), The principles and practice of verifying derivatives
prices, ssrn.com,pp.1-8.
VIII
Engle, R. (1982) Autoregressive conditional heteroscedasticity with estimates of
the variance of United Kingdom inflation, Econometrica, 50,
(1982) 987–1007.
Engle, R.F. and V. Ng. (1993), "Measuring and Testing the Impact of News on
Volatility," The Journal of Finance, 48, 1749-1778.
Engle, R.F. (1982), “Autoregressive Conditional Heteroscedasticity with
Estimates
EpaminontasKatsikas(2007), Volatility and autocorrelation in European futures
market, Managerial Finance, Vol.33,No.3,pp.236-240.
Ephraim Clark and Salma Mefteh(2006), Asymmetric foreign currency
exposure and derivative use- Evidence France, ssrn.com/abstract-
1421843,pp.1-23.
Eugenio S.DeNardis(2004), Financial derivatives and the intrinsic separation of
ownership and control, ssrn.com / abstract-1347061,pp.1-28.
Fernando Dal- RiMurciaandAriovaldo Dos Santos (2010), Evidence of
internal financial reporting standards (IFRS) implementation in
Brazil, the case of derivatives, ssrn.com/ abstract-1536608, pp.1-
8.
Figlewski, Stephen, (1981) “Futures Trading and Volatility in the GNMA
Market”, Journal of Finance, 36, 445-456.
Finucane, Thomas J., (1999) “A New Measure of the Direction and Timing of
Information Flow Between Markets”, Journal of Financial
Markets, 2, 135-151.
Florian Huehne(2006), Defaultable levy libor rates and credit derivatives,
ssrn.com, pp.1-16.
Fortune Peter, (1989), “An Assessment of Financial Market Volatility: Bills,
Bonds, and Stocks”, New England Economic Review, (Nov/Dec),
13-28.
Frank H. Easter Brook (2002), Derivative Securities and Corporate
Governance, The University of Chicago Law Review, Vol.69,
No.3, pp.733- 747.
Frank Shiller, GeroldSeidler and Maximilian Winner (2008), Temperature
model for pricing whether derivatives, ssrn.com/abstract-
1289929, pp.1-25.
Frederick Abergel(2008), Credit risk in the pricing and hedging of derivatives,
ssrn.com/abstract-1360670, pp1-14.
IX
Freund, S. P; McCann, D. & Webb, G. P. (1994), “A Regression Analysis of
the Effect of Option Introduction on Stock Variance”, Journal of
Derivatives, Vol. 6, pp. 25- 38.
FulkoFecht and HendrikHakenes, (2006), Money market derivatives and the
allocation of liquidity risk in the banking sector, ssrn.com, pp.1-
29.
Gerald D. Gay and DaeY.Jung(1999), A future look at transaction cost, short
sales restrictions, and futures markets efficiency-the case of
Korean stock index futures, The Journal of Futures Markets,
Vol.19, No.2, pp.153- 174.
Geoffrey.G.Booth, John Paul Broussard, JeppoMartikainen, VesaPuttonen(1997) Prudent margine levels in the Finnish stock
index futures market, Management Science, Vol.43, No.8,
pp.1177-1188.
Geoffrey B.Goldman(1995), Crafting a suitability requirement for the sale of
over- the counter derivatives-Should regulators punish the wall
street hounds of greed, Columbia Law Review, Vol.95, pp.1112-
1159.
George.M Von Furstenberg and Carlos (2004), Bolsa or NYSE:Price
Discovery of Mexican shares, Working papers series,
ssrn.com,pp.1-24.
George Tsetsekos and PanosVarangis(1997), The structure of derivative
exchange –lessons from developed and emerging markets,
ssrn.com, pp.1- 44.
GolakNath, (2003), “Behaviour of Stock Market Volatility after Derivatives,”
available at http://nse-india.com/content/press/nov2003a.pdf.
Gordon.M.Bodnar, Abe de Jong and Victor Macrae(2003), The impact of
Institutional Differences on Derivatives Usage-A comparative
study of US and Dutch firms, Report Series Research in
Management, pp. 1-38.
Gregory W. Brown (2000), Managing foreign exchange risk derivatives,
ssrn.com, pp. 1-46.
Gregory.JBallentine(1980), Dividend policy and tax incidence in a growing
economy, The Quarterly Journal of Economics, Vol.95, No.4,
pp.781-787.
X
GulenHuseyin and Stewart Mayhew, (2000), “Stock Index Futures Trading and
Volatility in International equity markets”, Journal of Futures
Markets, 20(7), 1-85.
Gunter Dufey and Florian Rehm(2000), An introduction of credit derivatives,
University of Michigan Business School,Working papers series,
Vol.No.013, pp.1-8.
Gupta, O.P. &Muneesh Kumar (2002), “Impact of Introduction of Index
Futures on Stock Market Volatility: The Indian Experience,”
Pacific Basin Finance, Economics, and Accounting Conference
2002, Nanyang Technological University, Singapore.
Gupta, O.P. (2002), “Effect of introduction of index futures on stock market
volatility: The Indian evidence”,UTI Capital Market Conference
Paper, Mumbai.
GurdipBakshi, NikungKapadia&DilipMadan(2003), Stock return
characteristics, Skew Laws and the differential pricing individual
equity options, The Review of Financial Studies, Vol.16, No.1,
pp.101-143.
Gurucharan Singh and Salony Kansal (2010), “Impact of Derivative Trading
on Stock Market Volatility during Pre and Post F&O Period: A
Case Study of NSE”, Management Convergence, Vol 1, No 1
(2010)
Gyu –Hyen Moon, Wei-Choun Yu and Chung- Hyo Hong (2008), Dynamic
hedging performance with the evaluation of multivariate Garch
models: Evidence from KOSTAR index futures,
ssrn.com/abstract-1324972, pp.1-19.
Harris Lawrence, (1989), “S&P 500 Cash Stock Price Volatilities”, Journal of
Finance, 46, 1155-1175.
Harris, L. H. (1989), “The October 1987 S&P 500 stock-futures basis,” Journal
of Finance, 44, 77-99.
Haiwei, Chen, Honghui Chen and Nicholas Valerio (2003),The effects of
trading halts on price discovery for NYSE stocks, Applied
Economics,Vol.35, pp.91- 97.
HengBerkman and Michel E.Bradbery(1996), Empirical evidence on the
corporate use of derivatives, Financial Management, Vol.25,
No.2, pp.5-13.
HenkBerkman, Michel E. Bradbury and Stephen Magan(1997), An
international comparison of derivative use, Financial
Management, Vol.26, No.4, pp.69-73.
XI
Henning.Fock, and Andreas W.RathgeBer(2007), Debt and Equity as
Derivatives, ssrn.com/abstract-1067701,pp.1-32.
Henry. T. C. Hu, Bernard Black (2008), Debt, Equity and Hybrid Decoupling-
Governance and systematic risk implications, European Financial
management, Vol.14, pp.1-41.
HirotoKuwahara and Jerry A. Marsh (1992), The pricing of Japanese equity
warrants, Management Science, Vol.38, No.1, pp.1610-1641.
Hoanguyen and Robert Faff (2002), On the determinants of derivative usage by
Australian companies, Australian Journal of Management, Vol.27,
No.1, pp.1-24.
Hogan, Kedreth C. J, Kroner, Kenneth F., Sultan, Jahangir (1997), “Program
trading, nonprogram trading, and market volatility,” Journal of
Futures Markets, Vol 17(7), pp733-756.
Hongyi Chen Laurence Faung and Jim Wong (2005), Hang Seng index futures
open interest and its relationship with the cash markets, Working
papers series , ssrn.com, pp.1-32.
Hsiang- Tai Lee (2009) A Copula-based regime-Switching Garch model for
optimal Futures hedging, The Journal of Futures Markets, Vol.29,
No.10, pp.946-972.
Hsiu-Chuan Lee, Cheng-Yi Chien and Tzu- Hsiang Liao (2009),
Determination of stock closing prices and hedging performance
with stock Indies futures, Accounting and Finance Vol.49.pp.827-
847.
Hsiu- Chuan Lee & Cheng-Yi Chien(2010), Hedging performance and stock
market liquidity- Evidence from the Taiwan futures markets, Asia
Pacific Journal of Financial Studies, Vol.39, pp.396-415.
Hung Neng- Lai (2003), Price discovery in hybrid markets:-Further evidence
from the London stock exchange, Working Papers series, ssrn,
com, pp.1-19.
Illueca M. and Lafuente.J.A(2007), The effect of futures trading on the
distribution of spot index returns implications for CVAR in the
Spanish market, The Journal of Futures Markets, Vol.27, No.9,
pp.839-866.
Irena Ivanovic and Peter Howley(2004), Examining the forward pricing
function of the Australian equity index futures contracts,
Accounting and Finance, Vol.44,pp.57-73.
XII
IvanSlavchev and SaschaWilkens(2008), The valuation of multivariate equity
options by means copulas- Theory and application to the European
derivatives markets, ssrn.com/abstract-1106724,pp.1-26.
Jae H. Min and Mohammad Najand(1999), A further investigation of the lead
lag relationship between the spot market and stock index futures:-
Early evidence from Korea, The Journal of Market, Vol.19,No..2,
pp.217-232.
Jahangir Sultan, Mohammad S. Hasan(2008), The effectiveness of dynamic
hedging- Evidence from selected European stock index futures,
The European Journal of Finance, Vol.14, No.6, pp.469-488.
Jean- David Fermanian and Olivier Vigneron(2009), On break even
correlation- The way to price structured credit derivatives by
replication, ssrn.com/abstract-1423872,pp.1-17.
James T W, (1993), “How price discovery by futures impacts the cash market”,
The Journal of Futures Markets, 13(5), 469 – 496.
James Richard Cummings and Alex Frino(2008), Tax effects on the pricing of
Australian stock index futures, Australian Journal of
Management,Vol.33,No.2,pp.331-406.
James Richard Cumming and Alex Frino(2010), Index arbitrage and the
pricing relationship between Australian stock index futures and
their underlying shares, Accounting and Finance, 365, pp. 1429-
1467.
Jang Koo Kang, Chang Joo Lee and Soonhee Lee (2006), An empirical
investigation of the lead lag relations of returns and volatility
among the KOSPI-200 spot, futures and option markets and their
explanations, Journal of Emerging Market Finance, 5:3.
Janis Sarra(2008), Credit derivatives market design- Creating fairness and
sustainability, ssrn.com/abstract-1399630,pp.1-18.
Jegadeesh, Narasimhan, and Avanidhar Subrahmanyam, (1993), “Liquidity
effects of the introduction of the S&P 500 index futures contracts
on the underlying stocks”, Journal of Business, 66, 171-187.
Jianwei Zhu (2007), Generalised swap market modeland the valuation of interest
rate derivatives, ssrn.com, pp. 1-24.
Jian,Yang, David A. Bessler, Hung- Gay Fung (2004), The informational role
of open interest in futures markets, Applied Economics Letters,
Vol.11, pp.569-573.
XIII
Jimmy E. Hilliard and Adam Schwatz(2005), Pricing European and American
derivatives under a jump diffusion process: A Bivariate Tree
Approach, The Journal of Financial and Quantitative analysis,
Vol.40, No.3, pp.671-691.
Jinliang Li (2010), Cash trading and index futures price volatility, The Journal
of Futures Markets, Vol.00,No.00,pp.1-22.
Joachim Gramming, Michael Melvin and Christian Schlag(2000), Price
discovery in International equity trading, Working Papers Series,
ssrn.com,pp.1-32.
Joel Hasbrouck (2001), Intraday price formation in US &equity index markets,
Working Papers Series, ssrn.com, pp.1-28.
John M. Charnes and Paul Koch (2003), Measuring hedge effectiveness for
FAS- 133 compliance, Journal of Applied corporate finance,
Vol.15, No.4, pp.95- 104.
John Hull, MirelaPredescu and Alan White (2005), The valuation of
correlation- Dependent Credit Derivatives using a structural
model, ssrn.com, pp.1-13.
Jones Travis and Robert Brooks, (2005), “An analysis of single stock futures
trading in the US”, Financial Services Review, 14, 85-95.
Jorge A. Chan- Lau (2006), Is systematic default risk priced in equity return- A
cross sectional analysis using credit derivatives prices, IMF
Working Papers Vol.148, pp.1-16.
Jorge A. Chan- Lau and YooSook Kim (2004), Equity pricing, credit default
Swaps and bond spreads in Emerging Markets, International
Monitory Fund ,Working Papers Vol.27, pp 1-40.
Jose. M. Marin, Thomas A. Rangel (2006), The use of derivatives in the
Spanish Mutual Fund Industry, ssrn.com, pp.1-50.
Joseph.K.W.Fung and Paul Draper (1999), Mispricing of index futures
contracts and shorts sales constraints, The Journal of Futures
Markets, Vol.19, No.6, pp.695-715.
Joshua Turkington and David Walsh (1999), Price discovery and Causality in
the Australian share price index futures markets, Australian
Journal of Management, Vol.24,No.2,pp.97-113.
Jouanin.J.F, Rapuch.G, Riboulet. G and Ronncalli(2008), Modeling
dependence for credit derivatives with copulas, ssrn.com/abstract-
1032561,pp.1-23.
XIV
Julio J. Lucia & Angel Pardo(2010), On measuring speculative and hedging
activities in futures markets from volume and open interest,
Applied Economics, 42,pp.1549-1557.
JueGergens(2004), Average derivatives for Hazard function, Econometric
Theory, Vol.20, No.3, pp.437-463.
Jun Liu, Jun Pan (2003), Dynamic derivative strategies, Journal Financial
Economics, Vol.69, pp. 401-430.
Kabir Hassan and AhamadKhasawneh(2009), The determinants of activities in
U.S commercial banks, net work financial institutes, Working
Papers, Vol.10, pp.1-24.
Kamara, A., T.Miller, and A.Siegel (1992), “The effects of futures trading on
the stability of the S&P 500 returns,” Journal of Futures Markets,
(12), 645 – 658.
Kan Andy C N, (1996), “Impact of introducing stocks index futures on the beta
of its underlying constituent stocks: A note”, International Journal
of Management, 13, 401-408.
Kapil Gupta &Balwinder Singh (2006), An examination of price discovery and
hedging efficiency of equity futures markets, ssrn.com/ abstract-
962002, pp.1-24.
Kapil Gupta and Balwinder Singh (2008), Price discovery and Arbitrage
efficiency of Indian equity futures and cash markets, ssrn.com,
pp.1-58.
Kapil Gupta and Balwinder Singh (2009), Estimating the optimal hedge ratio
in the Indian equity futures market, The IUP Journal of Financial
Risk Management, Vol.6, No.3&4,pp. 39-98.
Kapil Gupta and Balwinder Singh (2009), Information memory and pricing
efficiency of futures contracts- evidence from the Indian equity
futures markets, Journal of Emerging Market Finance,
Vol.8,No.2,pp.191-250.
KapilLodha(2008), Derivatives in India financial market- structure and financial
concerns-An Indian Perspective,ssrn.com/abstract-1114102,pp.1-
14.
Karen Benson and Barry Oliver (2004), Management motivation for using
financial derivatives in Australia, Australian Journal of
Management, Vol.29, No.2, pp. 225-242.
XV
KedarNathMukerjee and MishaR.K(2004), Impact of open interest and trading
volume in option market on underlying cash markets- Empirical
evidence from Indian equity option market, ssrn.com, pp. 1-26.
KedarNathMukerjee& Mishra. R.K (2006), Lead lag relationship between
equities and stock index futures market and its variation around
information release- Empirical evidence from India, ssrn.com,
pp.1-23.
Kee-Kong Bee, Kalok Chan and Yan- Leung Cheung (1998), The profitability
of Index Futures Arbitrage- Evidence form Bid- Ask Quotes, The
Journal of Futures Markets, Vol.18,No.7,pp.743-763.
Kevin Aretz, Sohnke. M. Bartram and Gunter Dufey(2007), Why hedge-
Rationales for corporate hedging and value implications, The
Journal of Risk Finance, Vol.8,No.5, pp.434-449.
Kingsley Fong, David R. Gallagher and Aaron Ng (2006), The use of
derivatives by Investment Managers and Implications for Portfolio
Performance and Risk, ssrn.com, pp.1-48.
Kiran K K, and Chiranjit M, (2003), “Impact of Futures Introduction on
Underlying NSE Nifty Volatility”, Paper presented at ICFAI
Conference, Hyderabad.
KregelJ.K(1998), Derivatives and Global capital flows application to Asia, The
Jerome Levy Economics Institute and University of Bologna,
Working Paper No. 246,pp.1-24.
Kuang- Liang Chan (2010), The optimal value at risk hedging strategy under
bivariate regime switching ARCH frame work, Applied
Economics, pp.1-14, i first.
Laatsch Francis E, (1991), “A Note on the Effects of the Initiation of Major
Market Index Futures on the Daily Returns of the Component
Stocks”, Journal of Futures Markets, 11(3), 313-317.
Larry Harris (2003), “Trading and Exchanges: Market Microstructure for
Practitioners”, Oxford University Press US, 2003.
Lars Norden(2006), Does an index futures split enhance trading activity and
hedging effectiveness of the futures contract, The journal of
Futures Markets, Vol.26,No.12,pp.1169-1194.
Laurance Copeland and Kim Lam (2008), Kin Lam (2008), The index futures
markets- Is screen based trading more efficient, ssrn.com,pp.1-21.
XVI
Lech A. Grzelak, Cornelis W. Dosterlee and SachavanWeeren(2009),
Extension of stochastic volatility equity models with Hull- White
interest rates process, ssrn.com/abstract-1344959,pp.1-26.
Lee Chun and Tong Hong Cheong, (1998), “Stock Futures: The Effects of their
Trading on the Underlying Stocks in Australia,” Journal of
Multinational Financial Management, 8(3), 285-301
Lee, Sang Bin, Ohk, Ki Yool (1992), “Stock Index Futures Listing and
Structural Change in Time-Varying Volatility,” Journal of Futures
Markets, Vol. 12(5), pp 493-509.
Leigh J. Maynard, Sam Hancock and Heath Hoagland (2001), Performance
of Shrimp Futures Markets as price discovery and hedging
mechanism, Aquaculture Economics and Management,Vol.5,(314)
pp.115- 128.
Leo Chan and Donald Lien (2001), Cash settlement and price discovery in
futures markets, Working papers series, ssrn.com, pp.1-24.
Louis T.W. Cheng, Li Jiang and Renne.W.Y.NG (2004), Information content
of extended trading for index futures, The Journal of Futures
Market, Vol.24,No.9, pp.861-886.
Luciano Campi and Alessandro Sbuelz(2005), Closed form pricing of bench
mark equity default swaps under the CEV assumptions,
ssrn.com/abstract- 683110,pp.1-20.
Lucjan T. Orlowski(1995),Recent developments in international currency
derivatives market-Implications for Poland, ssrn.com/abstract-
1476255,pp.1- 24.
Lyndon Moore and Steve Jub(2006), Derivative pricing 60 years before
Blasck- Scholes- evidence from the Johannesburg stock exchange,
The Journal of Finance, Vol.61,No.6, pp. 3069-3098.
Malik.N.S(2008), Risk return dynamics of derivative based investment
strategies, nseindia.com,pp.1-42.
Manolis G. Kavussanos& Nikos K. Nomikos(2000), Futures hedging when the
structure of the underlying assets changes- the case of the BISFEX
contacts, The journal of Futures Markets, Vol.20,No.8,pp.775-
801.
Manolis G. Kavussanos&Ilias D. Visvikis(2008), Hedging effectiveness of the
Athens stock index futures contracts, The European Journal of
Finance, Vol.14,No.3,pp.243- 270.
XVII
MaosenZhong, Alif. Darrat and Rafael Otero (2003), Price discovery and
volatility spill over in the index futures markets- some evidence
from Mexico, Working Papers Series, ssrn.com, pp.1-41.
Mark Rubinstein (2001), derivatives performance attribution, The Journal of
Financial and Quantitative Analysis, Vol.36,No.1,pp.75-92.
Mario.I.Blejer and Liliana Schumacher (2000), Central banks use of
derivatives and other contingent liabilities- Analytical issues and
policy implications, IMF Working Papers Series, pp.1-17.
Mathew Roope and Ralf Zurbruegg(2002), The intraday price discovery
process between the Singapore exchange and Taiwan futures
exchange, The Journal of Futures Markets, Vol.22, No.3, pp.219-
240.
Matheiu Hamel, (2008), Get an implied correlation to price equity- interest rates
hybrids, ssrn.com/abstract-1071645,pp.1-18.
Martin T. Bohl, Christian A Salm and Michael Schumppli(2010), Price
discovery and investors structure in stock index futures, The
journal of Futures Markets, Vol.00,No.00, pp.1-25.
Martin J. Bohl, Christian.A.Salm and Bernd Wilfling(2010), Do individual
Index Futures Investors destabilize the underlying spot market,
The Journal of Futures Market, Vol.00,No.00,pp.1-21.
Maurice Peat and Michael McCorry, (1997), “Individual Share Futures
Contracts: The Economic Impact of Their Introduction on the
Underlying Equity Market”, University Of Technology, Sydney,
Working Paper, No. 74.
MayankJoshipura(2000), Does the stock market over react? Empirical evidence
of constrain return from Indian market, ssrn.com, pp.1-22.
MayankJoshpura(2010), Is an introduction of derivatives trading cause-
increased volatility? Indian Journal of Finance, Vol.3,pp.3-7.
Mayhew, Stewart (2000), “The Impact of Derivatives on Cash Markets: What
have we learned?” Working Paper, University of Georgia.
Mckenzie M D and R D Brooks (2003), “The role of information in Hong Kong
Individual Stock Futures Trading”, Applied Financial Economics,
13, I123-131.
Mckenzie M D, Timothy J Brailsford and Robert W Faff, (2001), “New
Insights into the impact of the introduction of Futures trading on
stock price volatility”, Journal of Futures Market, 21, 237-255.
XVIII
Mia Hinnerich(2005), Pricing equity swaps in an economy with jumps,
ssrn.com, pp.1-23.
Michael S. Gibson (2007), Credit derivatives and risk management, Finance and
Economics Discussion Series, Vol.47,pp.1-20.
Ming-Chin Lee &Jui-Cheng hung (2007), Hedging for multi-period downside
risk in the presence of jump dynamics and conditional
heteroskedasticity, Applied Economics, Vol.39, No.18,pp.2403-
2412.
Ming-Yuan Leon Li (2010), Dynamic hedge ratio for stock index futures-
application of thresh hold VECM, Applied Economics, Vol.42,
No.11, pp.1403-1417.
Mino Lo Kim, Andrew C. Szakmary and Thomas V. Schward(1999), Trading
costs and price discovery across stock index futures cash markets,
The Journal of Futures Markets, Vol.19, No.4, pp.475-498.
Mustafa K.Yilmaz and EnginKurun(2007), The impact of derivatives on
financial stability in Turkish economy evidence from the Isbul
stock exchange and TURKDEX, International Research Journal
of Finance and Economics, Issue 9,pp.180-200.
Myron S. Scholes (1998), Derivatives in a dynamic environment, The American
Economic Review, Vol.88,No.3,pp.350-370.
NageswaraRao.S.V.D. and Sanjay Kumar Thakur (2004), Optimal hedge ratio
and hedging efficiency-An empirical efficiency of hedging in
Indian derivatives markets, Working Papers Series, pp.1-23.
Narayan Y. Naik and Pradeep K Yadav(2003), Risk management with
derivatives by dealers and market quality in Govt. bond markets,
The Journal of Finance, Vol.58, No.5,pp.1873-1904.
Narender L. Ahuja(2006), Commodity derivatives market in India-
Development, regulation and futures prospects, International
Research Journal of Finance and Economics, Issue 2, pp. 153-
162.
Nicolas Clear and Rajina Gibson (2000), Do newly listed derivatives affects
the market risk premium in Thin stock market? European Finance
Review,4, pp. 97-127.
Nikola Tarashev and Haibin Zhu (2007), The pricing of correlated default risk-
Evidence from the credit derivatives markets, ssrn.com/abstract-
967330, pp.1-34.
XIX
Nivine Richie, Rober T. Daigler and Kimberly.C.Gleason(2008), The limits to
stock index arbitrage-Examining S&P 500 futures and SPRDS,
The Journal of Futures Markets, Vol.28, No.12, pp.1182-1205.
NorvaldInstefjord(2005), Risk and hedging, do credit derivatives increases bank
risk? Journal of Banking and Finance, Vol.29, pp.333-345.
Obi-Wan Yoda (2004), BIC for derivatives pricing – the case of volatility
derivatives, Risk magazine,pp.1-7.
Olivia Ralevski(2008), Hedging in the art market, creating art derivatives
ssrn.com,pp.1- 58.
Pagat Dare Bryan, Yan Tie Chen and Patrick Phua(2010), index futures
trading, Margin trading and securities lending in China finally
launched, Journal of Investment Compliance, Vol.11, No.2, pp.23-
26.
Patil R. H.(2006), “Current state of the Indian Capital Market”. Economic &
Political Weekly, 18 March 2006
Patrick.J. Raines and Charles G. Leathers (1994), Financial derivatives
instruments and social ethics, Journal of Business Ethics, Vol.13,
No.3, pp.197-204.
Paul Dawson and Sotiris K. Saikouras(2009), The impact of volatility
derivatives on S&P 500 volatility, The Journal of Futures
Markets, Vol.29, No.12,pp.1190-1213.
Paul Latimer (2009), Regulation of over the counter derivatives in Australia,
Australian Journal of Corporate Law, Vol.23,pp.1-18.
Paul Kofman and Patrick McGlenchy(2005), structurally sound dynamic Index
Futures Hedging, The Journal of Futures Markets, Vol.25, No.12,
pp.1173-1202.
Phil Holmes (1995), Ex ante hedge ratios and the hedging effectiveness of the
FTSE-100 Stock Index Futures Contract, Applied Economics
Letters, Vol.2,pp.56-59.
Philippe Ehlers and Philipp.J.Schonbucher(2006), Pricing interest rate-
Sensitive credit portfolio derivatives, Swiss Finance Institute
Research Paper Service, Vol.39,pp.1-34.
Philipp Koziol(2006), Enhancing FX risk management with inflation and interest
rate derivative, ssrn.com,pp.1-14.
Pilar C, and Rafael S, (2002), “Does derivatives trading destabilize the
underlying assets?Evidence from the Spanish stock market”,
Applied Economics Letters, 9(2), 107-110.
XX
PiotrKorczak and Kate Phylaktis(2010), Related securities and price
discovery-Evidence form NYSE listed Non-U.S stocks, Working
Papers Series, ssrn.com, pp.1-23.
Pradap Chandra Pati&PrabinaRajib(2010), Volatility persistence and trading
volume in an emerging futures markets-evidence from NSE Nifty
stock index futures, The Journal of Risk
Finance,Vol.11,No.3,pp.269-309.
Pradap Chandra Pati(2008), Maturity and Volume effect on the volatility- An
evidence from NSE Nifty futures, ssrn.com/abstract-962319,pp.1-
19.
PremalathaShenbaragaraman(2004), Do futures and options trading increasing
stock market volatility, ssrm.com, pp. 1-22.
Puja Padhi(2009), Derivatives and Asymmetric response of volatility to news in
Indian Stock Market, ssrn.com, pp.1-13.
Quentin C. Chu and Wen-Liang Gideon Hsieh (2002) Pricing efficiency of the
S&P 500 index market- evidence from the S&P’s depository
receipts, The Journal of Futures Markets, Vol.22, No.9, pp 877-
800.
Rafael Mendoza and VadinLinetsky(2009),Pricing equity default swaps under
the Jump to default extended CEV model, ssrn.com/abstract
1403545,pp.1-23.
RafiqulBhuyan&Mo Chaudhury(2001), Trading informational content of open
interest-evidence from the US equity options markets, ssrn.com,
pp.1- 28.
RagunathanVanitha and Albert Peker, (1997), “Price Variability, Trading
Volume and Market Depth: Evidence from the Australian Futures
Market”, Applied Financial Economics, 7, 447-454.
Raju M T and KiranKarande, (2003), “Price discovery and volatility of NSE
futures market, SEBI Bulletin, 1(3), 5-15.
Rama Cont and Yu Hang Kan (2009), Dynamic hedging of portfolio credit
derivatives, ssrn.com/abstract-1349847,pp.1-27.
Raymond W.So&YiumanTse(2004), Price discovery in the Hang Seng Index
Markets, Index, Futures and the Tracker Fund, The Journal of
Futures Markets, Vol.24, No.9, pp.887-907.
XXI
Ravi Agarwal, Sivakumar, WasifMukhtar and HemanthAbar(2009), Impact
of Derivatives on Indian Stock Market, ssrn.com/abstract-
1500327, pp.1-17.
Refet S. Gurkaynak, Justine Wolfers, Christopher, D.Carroll and Adam Szeidl(2005),Macroeconomic derivatives- An initial analysis of
markets, based macro forecast, uncertainty and risk, Chicago
Journals, pp. 11-64.
Rene M. Stulz(2004), Should we fear derivatives, The Journal of Economic
Perspectives, Vol.18No.3,pp.173-192.
Reuven.S.Avi-Yonah(2008), Enforcing dividend with holding on
derivatives,Tax Note, Vol.1,pp.746751.
Richard D.F. Harris (2006), Hedging and value at risk, The Journal of Futures
Markets, Vol.26,No.4, pp.369-390.
Robert J. Myers (1991), Estimating time- varying optimal hedge ratios on
futures markets, The Journal of Futures Markets,
Vol.20.No.1,pp.73-87.
Robert &Reto (2004), “Equity Markets in Action: The Fundamentals of
Liquidity, Market Structure & Trading” Published by John Wiley
and Sons, 2004, ISBN 0471689882, 9780471689881, 448 pages.
Robert T. Daigler(1998), A futures duration convexity hedging method, The
Financial Review, Vol.33,pp.61-80.
Robert J. Shiller(2008), Derivatives markets for home prices, ssrn.com/abstract/
1114102,pp.1-27.
Robert Almgren(2002), Financial derivatives and partial differential equations,
The American Mathematical Monthly, Vol.109,No.1,pp.1-12.
Robert A. Jones and Christopher Perignon(2009), Derivatives clearing and
systematic risk, ssrn.com /abstract-1095695,pp.1-40.
Robert G. Bowman, Kam Fong Chan and Mathew R. Comer (2000),
Contagion in world equity markets and the Asian economic crisis,
Ssrn.com/abstract-965316,pp.1-51.
Robin K.Chou and George H.K.Wang(2006), Transaction tax and market
quality of the Taiwan stock index futures, ssrn.com, pp.1-21.
Robinson, G. (1994), “The effect of futures trading on cash market volatility
from the London stock exchange”, Review of Futures Markets, 13,
429-425.
XXII
Roger Craine(1997), Valuing the futures markets performance guarantee, Macro
Economics Dynamics, Vol.1, pp.701-719.
Ronald W.Masulis and Randall S. Thomas (2008), Does private equity create
wealth? Vanderbilt University Law school, Law and economics,
Working papers-20, Vol.76, pp.1-41.
Ronald J.Gilson and Charles K.Whitehead(2007), Deconstructing equity,
public ownership, agency cost and complete capital markets,
Columbia Law Review, pp.2-42.
Ross, Stephen A. (1989), “Information and volatility: The no-arbitrage
martingale approach to timing and resolution irrelevancy,” Journal
of Finance, 44, pp. 1-17.
Safe Siddiqui(2009), “Examining association S&P CNX Nifty and selected
Asian and US.Stock markets”, nseindia.com, pp.1-40.
Salih, Aslihan A. and VolkanKurtas, (1999), “The Impact of Stock Index
Futures Introduction on the Distributional Characteristics of the
Underlying Index: An International Perspective”, Working paper,
Bilkent University.
SakthivelP.andB.Kamaih(2009), Futures and trading and spot market volatility-
A case of S&P CNX Nifty index, GITAM Review of International
Business,pp.1-26.
Sarangi, Sibani Prasad and Patnaik, K. Uma Shankar(December 19, 2006),
“Impact of Futures and Options on the Underlying Market
Volatility: An Empirical Study on S&P CNX Nifty Index”, 10th
Indian Institute of Capital Markets Conference Paper. Available at
SSRN: http://ssrn.com/abstract=962036 or
http://dx.doi.org/10.2139/ssrn.962036
SandeepSrivastava,(2004), “Informational content of trading volume and open
interest-An empirical study of stock option market in India”,
ssrn.com, pp.1-21.
Sandeep et al. (2003), “Impact of stock options and futures on volatility and
informational efficiency in Indian market - An empirical study”,
Indian Journal of Finance and Research, Volume: 13, Issue: 1 &
2.
Sangbae Kin, Francies In and Christopher Viney(2001), Modeling linkage
between Australian Financial futures markets, Australian Journal
of Management, Vol.26.No1pp.19-34.
ShenbagaramanPremalata, (2003), “Do Futures and Options trading increase
stock market volatility?” NSE Working Papers, No. 60.
XXIII
Sheng –Syan Chen, Cheng- Few Lee and KeshabShrestha(2004) An empirical
analysis of the relationship between the hedge ratio and hedging
horizon, A simultaneous estimation of the short and long run
hedge ratios, The Journal of Futures markets,
Vol.24,No.4,pp.359-386.
Singh Y.P and MeghaAgarwal(2009), Impact of Index Futures on the Index
Spot Markets-the Indian evidence, ssrn.com /abstracts-
1659565,pp.1-20.
SnehalBandivadekar&Saurabh Ghosh (2003), “Derivatives and Volatility on
Indian Stock Markets, Reserve Bank of India Occasional Papers,
Vol. 24, No. 3, Winter 2003
SondiponAdhikari(1999), Calculation of derivatives of complex modes using
classical normal modes, Computer and Structures, Vol.77,pp.625-
633.
Soumitra N. Bhaduri, S.RajaSethuDurai(2008), Optimal hedge ratio and
hedging effectiveness of stock index futures evidence from India,
Macroeconomics and Finance in Emerging Market Economics,
Vol.1, No.1, pp.121-134.
Spyros.I. Spyrou(2005) index futures trading and spot price volatility, evidence
from an emerging markets, Journal of Emerging Market
Finance,Vol.4,No.2.pp.151-167.
Stephane M. Yen. Ming- Hsiang Chen (2010), Open interest, volume and
volatility: evidence from Taiwan futures markets, J.EconFinan34:
113-141.
Steven A Dennis and Ah Boon Sim, (1999), “Share Price Volatility with the
Introduction of Individual Share Futures on the Sydney Futures
Exchange”, International Review of Financial Analysis, 8(2), 153-
163.
Steven Shuye Wang, Wei Li, Louis T.W. Cheng (2008), The impact of H-
share Derivatives on the underlying equity markets,
ssrn.com/abstract- 1145306,pp.1-46.
Steven M. Van Putten and Edward D, Graskamp(2002), End of an era? The
futures of stock option, Compensation and Benefits Review,
Vol.34.No.29, pp.29-36.
StphenP.Ferris, Hun Y. Park and Kwang Woo Park (2002),Volatility, open
interest, volume and arbitrage: evidence from the S&P 500 futures
market, Applied Economics Letters, Vol.9, pp.369-372.
XXIV
Stoll H R, and Whaley R E, (1990), “The dynamics of stock index and stock
index futures returns”, Journal of Financial and Quantitative
Analysis, 25(4), 441-468.
Suchismita Bose and DipankorCoondoo(2004),The impact of FII regulations in
India, Money and Finance Vol.4, pp.54-83.
Suchismita Bose (2007), Contribution of Indian index futures to price formation
in the stock market, Money and Finance, Vol.2pp.39-56.
Suchismita Bose (2007) Understanding the volatility characteristics and
transmission effects in the Indian stock index and index futures
markets, Money and Finance,Vol.9, pp.139- 162.
Sung C.Bae, Tack HoKnon and Jong Wong Park (2004), Futures trading, Spot
Market volatility and market efficiency –the case of the Korean
index Futures Markets, The Journal of Futures Markets,Vol.24,
No.12,pp.1195- 1228.
SumonBhaumik and Suchismita Bose (2007), Impact of derivatives trading on
emerging capital markets: A note on expiration day effects in
India, William Davidson Institute working paper No.863,pp.1-19.
Susan Thomas and Ajay Shah (2004), Equity derivatives in India –the state of
the art, ssrn.com,pp.1-23.
Syed AbuzarMoonis and Ajay Shah (2003), Testing for time variation in Beta
in India, Journal of Emerging Markets Finance 2:2.
Taufiq Hassan, ShamsheerMohamad, MohamadAriff and
AnnurMd.Nassir(2007), Stock Index Futures prices and the
Asian financial crisi ,International Review of Finance, Vol.7,
No.4, pp.119-141.
Thenmozhi M. (2004), Futures trading, information and spot price volatility of
NSE 50 index futures contract, ssrn.com,pp.1-19.
Thenmozhi M. and Manish kumar(2008), Dynamic interaction among mutual
fund flows, stock market return and volatility, ssrn.com,pp.1-30.
ThulasiLinga Reddy (2009), State of currency derivatives trading in India –
futures Vs forwards, ssrn.com/abstract-1469400,pp.1-7.
Tina M Galloway and James M. Miller (1997), index futures trading and stock
return volatility: evidence from the introduction of Mid Cap-400
Index Futures, The Financial Review, Vol.32, No.3, pp.845-866.
XXV
Taylor, Wayne A. (2000), "Change-Point Analysis: A Powerful New Tool For
Detecting Changes," WEB: http://www.variation.com/cpa/tech/
changepoint.html.
Tony Naughton, Malick O. Sy and VikashRamiah(2008), Momentum
strategies for equity versus equity derivatives application to Asia
portfolio management, ssrn.com/abstract-1087252,pp.1-26.
UdoBroll, Gerhard Schweimayer and Peter Welzel(2003),Managingcredit risk
with credit and macro derivatives, Institute for
VolksWirtschaftslehre, Vol.252, pp.1-19.
UlkemBasdas(2009), Lead lag relationship between the spot index and futures
price for the Turkish Derivative Exchange, ssrn.com, pp.1-18.
VasileiosKallinterakis and ShikhaKhurana(2009), Volatility persistence and
the feedback trading hypothesis- evidence from Indian market,
ssrn.com, pp.1-13.
Vipul (2008), Mispricing, volume, volatility and open interest: evidence from
Indian futures market, Journal of Emerging Market Finance,
7:3,263-292.
Vipul (2006), “The Impact of the Introduction of the Derivatives on Underline
Volatility: Evidence from India”, Applied Financial Economics,
Vol. 16, pp.687-694.
Viral V. Acharya, SanjiveRanjan Das and Rangarajan, Sundaram K (2001),
Pricing credit derivatives with rating transition, Financial Analyst
Journal, pp.12-26.
Viral V. Acharya and Timothy C. Johnson (2005), Insider trading in credit
derivatives, ssrn.com, pp.1-26.
Viven Brunel (2001), Pricing credit derivatives with uncertain default
probabilities, ssrn.com, pp.1-29.
WaldemarRotfub(2007), Options, futures, and other derivatives in Russia- An
over view, Discussion paper,Centre for European Economic
Research, 059,pp.1-38.
Wayne Guay, Kothari S.P(2003), How much do firms hedge with derivatives,
Journal of Financial Economics, Vol.70, pp. 423-461.
Wenling Yang, David E. Allen (2004), Multivariate GARCH hedge ratios and
hedging effectiveness in Australian futures markets, Accounting
and Finance, Vol.45,pp.301-321.
XXVI
Xiaowei Ding, Kay Giesecke and Pascal I. Tomecek(2008), Time changed
birth process and multi name credit derivatives, Operations
Research, pp.1-32.
Ysif E. Simaan&Liuren Wu (2003), Price discovery in the U.S stock option
market, Working papers series, ssrn.com, pp.1-20.
Websites:
www.icicibank.com
www.hul.co.in
www.jalindia.com
www.cipla.com
www.airtel.in
www.reliancecapital.co.in
www.wipro.com
www.ongcindia.com
www.tatamotors.com
www.praj.net
www.sebi.gov.in
www.nseindia.com
www.bseindia.com
www.rbi.org.in
Books 1. Badi H. Baltagi, Econometrics, 3rd Edition, Springer.
2. Chris Brooks, Introductory Econometrics for Finance, Cambridge University
Press, Second Edition.
3. Damoder.N.Gujarathi and Sangeetha, Basic Econometrics, Tata McGraw
Hill Education Private ltd, Fourth edition.
4. John.C.Hull and SankarshanBasu, Option, Futures and Other Derivatives,
Pearson seventh edition.
5. Richard A. Johnson Dean W. Wichern, Applied Multivariate Statistical
Analysis, PHI Learning, 5th Edition.
6. Ruey S. Tsey, Analysis of Financial Time Series, Wiley Series, Second
Edition.
7. Tony Lancaster, An Introduction to Modern Bayesian Econometrics, Black
Well Publishing.
8. Walter Enders,Applied Econometric Time Series, Wiley, Second Edition.