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Sibani Prasad Sarangi1 & Uma Shankar Patnaik 2
Derivatives trading in India commenced in June 2000 with the introduction of stock
index futures by BSE and NSE. Futures and options are important instruments for risk
exposure through hedging, portfolio diversification and price discovery. This paper
provides a theoretical background to and empirical evidence of the impact of futures and
options on the spot market volatility. This study is based on both closing and opening
price returns as well. The sample data consist of daily opening and closing price returns
of S & P CNX Nifty, Nifty Junior and S & P 500 index from January 1, 1997 to March
31, 2005. Earlier studies have used different time-series techniques like GARCH,
IGARCH, ECM, OLS, etc. to access the impact of derivatives on the spot market
volatility. The present study uses family of GARCH techniques to capture the timevarying nature of volatility and volatility clustering phenomenon in the data. The
empirical evidence suggests that there are no significant changes in the volatility of the
spot market of the S & P CNX Nifty Index, but the structure of the volatility has been
changed to some extent. However, the study also found that the new information is
assimilated into prices more rapidly than before, and there is a decline in the persistence
of volatility since the inception of futures trading.

Key Words: S & P CNX Nifty, Index Futures, GARCH


Doctoral Fellowr, Department of Economics, University of Hyderabad, Hyderabad e-mail:
Professor, Department of Economics, University of Hyderabad, Hyderabad


witnessed a tremendous increase and recently the turnover is much higher than the turnover in the cash market. has undergone a drastic transformation since the mid-eighties involving multidimensional growth. Initially derivatives in India were introduced as a hedging device on June 2000 through the introduction of stock index futures. in the early 1990s has brought major changes in the Indian capital market such as introduction of derivatives. The volume in derivatives markets especially on the futures and options on National Stock Exchange. As a part of financial market 3 See Appendix-1 2 . Increased volatility in asset prices in financial markets. options and swaps. relaxation rules and regulations for FDI and FII etc. forwards. increased integration of national financial markets with the international markets. which was lying as dormant segment of the financial system.An Empirical study on the Impact of Derivatives on the Spot Market Volatility: A case Nifty Index Sibani Prasad sarangi and Uma Shankar Patnaik 1. Derivatives were introduced in a phased manner3 after the recommendation of the L. stock options (July 2001) and stock futures (Nov 2001). Gupta Committee Report in 1997. Futures and options have become essential instruments of price discovery. This was followed by the introduction of the index option (June 2000). Derivatives include futures. portfolio diversification and risk hedging in recent times on the Indian stock markets. It was introduced due to high volatility of the Indian stock market. improvements in the communication facilities necessitates the introduction of derivatives in India. C. INTRODUCTION: The Indian capital market. a series of significant changes have been taken place in financial markets throughout the world. The financial market liberlisation. Since 1970s. and these can be combined with each other or with traditional securities and loan to create hybrid instruments.

Further. Cahn and Karlogi (1991) on Nikkei 225 Index. this paper is laid out into five sections. Studies by Edwards (1988) on Value-line Index. Gupta Committee Report in 1997. academicians and investors on the effect of derivatives on the underlying market volatility and some selected reviews related to equity futures and options are discussed in the following section. another school of thought claims that futures market plays an important role of price discovery and has beneficial effect on the underlying cash market. Darrat and Raman (1995) and Kamara et al. One school of thought argued that derivatives trading increases stock market volatility due to high degree of leverage and hence. The lower level of information of derivatives trades with respect to cash market traders is likely to increase the asset volatility. enhances market efficiency and reduces asymmetry information of spot market. destabilizes the market. Section I introduces derivatives segment of India. derivatives were introduced in a phased manner 4 after the recommendation of the L. improves the market debt. two types of arguments prevail in the existing literature. OVERVIEW OF PAST STUDIES: The impact of futures and options on the underlying index volatility seems practically an empirical question. section-III demonstrates the data employed and methodology of the present study. This gives rise to the controversy among the researchers. C. Generally. With respect to futures trading. section-IV presents the empirical evidence. A number of studies have been carried out in this regard across the countries.reforms. On the other hand. and section-V provides conclusion and scope for further research in this area. 2. Against this background. Kumar et al (1995) argued that derivatives trading helps in price discovery. Leela and Ohk (1992) on Australian All Ordinaries Index. futures market is likely to attract uniformed traders due to low transactions costs involved to take positions in the futures market. most of the studies are related to index futures due to lack of trading in single-stock futures. section-II presents the theoretical framework of the study. (1995) on S & P 500 Index 4 See Appendix-1 3 .

On the other side. Pierluigin Bologana and Laura Cavallo (2002) on Italian Stock Market. S & P 500 found increase in the volatility of the spot market. Elfakhani and Choudhury (1995). Number of studies has been carried out by different academicians to detect the spot market volatility in case of India. Similarly. Butterworth (2000) found no significant change in the volatility of the FTSE-250 index after onset of futures trading.P. Raju and Karnde (2003) while Shengagaram (2003) did not find any significant change in the spot market volatility. It found out an increase in volatility for S & P 500 and Nikkei 225 indices. Board. Nath. but there are other reasons like microstructure changes and robust risk management practices. 4 . Gupta (2002).found no significant changes in the volatility of the spot market. (G. most of the studies are related to the individual stocks. The Volatility of the Nifty stock futures has been declined except for some stocks after the introduction of futures. One of the earlier studies by Thenmozhi (2002) showed a decline in volatility of the spot market by examining S & P CNX Nifty index. A study by Gulen and Mayhew (2000) is based on twenty-five countries. Homes and Priestly (1998) on DAX 100 and Swiss MI index. contrary to regulatory concern and the results of the other papers. Some of the studies show a decrease in the volatility of the underlying market. studies by Lockwood and Linn (1990) on DJIA Index. contemporaneous information less futures market trading has no significant effect on spot market volatility. and all other countries showed no significant change in volatility. 2003). These studies include Bessembinder and Seguin (1992) on S & P 500 index. It shows a decline in the volatility of the spot market (Conrad 1989). the cash market volatility has also come down after the introduction of the derivative market. Similar results obtained by O. Sandmann and Surcliffe (2001) show that. Brorson (1991). which are responsible for the reduction in the volatility.C. In the case of options. Antoniou and Holmes (1995) found that the introduction of stock index futures caused an increase in spot market volatility in the short run while there was no significant change in volatility in the long run. Further. Ibrahim (1999) and Oliva and Armada (2001) did not find any significant change on the spot market volatility of the Malaysia and Portuguese stock market respectively.

The daily returns based on closing and opening prices were computed using the following equation. because studies examine the same indices arrived at different conclusions. This study is based on National Stock Exchange Data because 95 percent of the trading in derivatives is done at NSE. 2005.The above literature gives a mixed result about the effect of futures on the volatility of the underlying market across the countries. The data period is taken from January 1. this paper seeks to examine the behaviour of spot market by taking both closing and opening price returns while most of the earlier studies in the Indian context based on the closing price returns. the present study employs GARCH technique to measure the volatility. The results depend on the indices and methodology used in the study. a very few studies have been conducted in developing countries like India. 3. In this context. Most of the studies are related to the developed countries like the USA. S & P CNX Nifty is well-diversified 50 stocks accounting for 23 sectors of the economy. The total number of observations is 2065. 1997 to March 31. Rt = Log (Pt / Pt-1)---------------------------------------------------(1) 5 . But. METHODOLOGY The present scholarship is based on the stock index price returns. (IISL). 4. which are collected from NSE. The present paper contributes in the following manner. DATA SOURCES The data for the study consist of daily closing and opening price returns of the S&P CNX Nifty Index and Nifty Junior Index. it gives rise to further research in this regard. and it also explains the nature of the volatility before and after the introduction of futures and options. which is a joint venture of NSE and CRISIL. Firstly. S&P CNX Nifty is owned and managed by India Index Services and Products Ltd. Secondly. the UK or Japan. The data are colleted for closing and opening prices. out of which 857 and 1103 were prior to futures and options trading and remaining 1207 and 962 observations relate to post-futures and options trading respectively.

the lagged S & P 500 index returns has been take into consideration. Gregory (1996). Previous studies have to filter out the factors which lead to market wide volatility by regressing the spot market returns against a proxy variable for which there was no related futures contract. The present study makes use of both the methods to focus the volatility of the underlying market. and Greoge. Thenmozhi (2002) etc. al. et. it is necessary to separate the volatility arising from market wide factors other than futures trading. then there is a decline in the spot market volatility with the inception of the futures trading and vice-versa. Darren Butterworth (2000) use the GARCH model to overcome the problem of hetroskedasticidy in the observed returns.}. 6 . Antonou and Holmes (1995). have measured the volatility by using standard deviation. { Antonium and Holmes (1995). In order to determine whether the onset of futures trading has any effect on the underlying spot market volatility. Hodgson (1991). The co-efficient of the dummy variable determines the changes in the volatility of the spot market. Many researchers like Kalok Chand (1991). To remove the effects of world wide price movements on the volatility of the Nifty index returns. it serves as a control variable for us to isolate market wide factors and thereby concentrates on the residuals volatility in the Nifty as a direct result of introduction of index derivatives contracts. (1992). et. Kamara. If it turns out to be negative. A zero coefficient indicates no change in the volatility. Herbest (1992). Nifty Junior Index comprises stocks for which no futures contracts are traded. For Indian stock market.The variance of the returns series is calculated to know the inter-day volatility by using the following equation: σ2 = ∑ ( Rt – R )2 / T-1 --------------------------------------------(2) Several scholars have carried out studies to show the volatility of the spot market before and after the introduction of the futures trading. The futures trading is introduced as a dummy variable which takes the value 0 for prefutures and 1 for post-futures.

ht ) ht = α0 + α1 ε2 t -1 + …. In ARCH model. on lagged values of variance itself to capture long-term influences. and it allows the conditional variance to change over the time. q) model is given by the following equation. and it does not allow one to explicitly capture the connection between information and volatility. to depend on the immediately previous values of the squared errors. the variance is modeled as a linear combination of squared past errors of specific lag and the autocorrelation in volatility modeled by allowing conditional variance of the error terms. GARCH models explain variance by two distributed lags: firstly. A GARCH (p. it is better to consider a model that allows the above limitations. Hence. The size of the parameters α 1 and β1 determine the short-term 7 . this study makes use of non-linear models like ARCH. An ARCH (P) can be specified as Ψ ψ εt / Ψt ~ ( 0. and secondly. Thus.+ αp ε2 t –p ----------------(3) The ARCH model was generalized by Bollesla (1986). q is the degree of GARCH and Vt is the error term with white noise process.The assumption of classical linear regression model is that variance of errors are constant. Hence. Apart from these the OLS regression neglected the possible autocorrelation in return and inherent time-varying nature of volatility. P is the degree of ARCH.(4) εt / Ψt ~ ( 0. It is unlikely that in the context of stock returns data the variance of the errors will be constant over time. Yt = α0 + α1Xi + εt -------------------------. the prime motivations behind the development of conditional volatility models emanated from the fact that the then existing linear-time series models were inappropriate. Autoregressive Conditional Hetroscedastic (ARCH) model was first introduced by Engel (1982). and it is called GARCH (Generalised Autoregressive Conditional Hetroscadasticity). on past squared residuals to capture high frequency effects or news about volatility from previous period measured as lag of the squared residuals from mean equation. ht ) q p 2 h t = α0 + ∑ t =1 2 α1 ε t-1 + ∑β h j =1 j t −1 + vt -----------(5) in this case.

S & P 500 + ε t ---------------.28834 and trend -45. Secondly. the analysis may produce spurious results.28114 . Hence. the GARCH (1. without taking into account the presence of unit root in the variables.28401 S&P CNX -19.(7) Where Rt is daily return on the S&P CNX Nifty and Rt −1 is the lagged returns and in the variance equation a dummy variable is introduced for futures and options. Therefore. To eliminate the effect of market wide factors in India and the world wide factors Nifty Junior Index and S & P 500 Index is introduced in the mean equation. Large co-efficient of β 1 shows that shocks to conditional variance take a long time to cancel out.7955 -45.(8) 5. The result of the unit root test is shown in Table 1.dynamics of the resulting volatility time-series. The equation is as follows: Rt = at + βi Rt −1 + RtNiftyJunior + Rt −1. Table: 1 Unit Root Results Variable ADF Test Statistics Without With With Philips-Perron Test Without With With intercept intercept intercept intercept intercept intercept -19. All the return series are stationary at its level and they are significant at 1 percent level. Hence. ADF unit root test is sensitive towards the lag length included in the regression equation. so volatility is persistence. 1) is estimated for measuring the volatility.Fuller and Philips-Perron unit root tests are employed to test the integration of each variable. The mean and variance equation are as follows: Rt = at + βi Rt −1 + ε t ---------------------------------------. Augmented Dicky. EMPIRICAL DISCUSSIONS The economic literature in the recent past has experienced an explosion of unit roots for stationary of time series data as the choice of techniques and procedure for further analysis and modeling of series depends on their order of integration. the lag length is chosen on Akaike Information Criterion (AIC).(6) ht = a + α1 + ε t2−1 + β t2−1ht −1 + β 2 D f + β3 Do +ν t ----------.7678 Nifty 8 -45. The same can be seen from the graph which is given at the end of the paper.7911 and trend -19.

S & P 500 Index and Nifty futures and options by using GARCH technique.3742 -19.42368 -41. 1) technique with futures trading as a dummy variable.71391 Junior S & P 500 -21.013 for the same.001011) 0. But it has come down to 0.38179 Table: 2 Descriptive Statistics Mean Pre-Futures 0. The objective of this paper is to see the effect of introduction of futures and options on the volatility of underlying markets. In the case of opening price returns.000241 for closing and opening prices respectively. The co-efficient of the dummy variable is -2.3199 -49.32953 -49.000388 0.84E-05 for the closing price returns. the study uses non-linear model. The lag length chosen is 5.D.00000 0.018559 Overall 0.016509 (0.015768) Probability 0.e.00049 Post-Futures 0.0000249 and -0.00029 Pre-Options 0. and both are significant at 1 percent level (Table-4). (0.9375 -21. (0.42265 -19.001083) 0.013800 (0.022490) (0. It indicates that introduction of futures trading reduces the spot market volatility. For options the dummies are -0.01453 (0.95832 -23.000346) 0.000374 S.71917 -41. An analysis is done to explain the same by regressing the spot market volatility on Nifty Junior returns.01855 (0. In order to overcome the problem of classical linear regression models and comparison of results.01453 and 0. 9 . The standard deviation was 0.0185 for pre-futures and pre-options respectively.01894 0. but it has a very negligible impact.000 NOB 858 1207 1103 962 Note: Figures in the parenthesis indicate values for Nifty Junior. -2.000667) 0.1894 and 0. It shows that Nifty Junior return is regressed against its lag value using GARCH (1.022374) 0. the coefficient of the dummy variable is also negative i.70323 -41. which is significant at 1 percent level.00016 Post-Options 0.03165 -48.69E-05.00000 0.019642) 0.00000 0. GARCH.017443 (0.000000 2065 Table-2 provides the descriptive statistics for Nifty and Junior Nifty index returns. Table-3 reports results obtained by using the equation 6 and 7 of GARCH technique.Nifty -19.

712030 -1.61710 -5. 1) SL.49E-05 0.749047 -2.112423 Opening Price Returns Co-efficients Significance 4.134236 0.146481 0.01967 30.654850 Table 5: Impact of Nifty Futures & Options on the Spot Market (Garch 1.049704 6.708572 0. 1) SL.565649 2.759885 -2. Though the co-efficients of the dummies are significant at their respective 10 .650780 Table 4: Impact of Nifty Options on the Spot Market (Garch 1. 1 Variable 2 Constant 3 S&P CNX Nifty Index ARCH 1 GARCH 1 F DUMMY 4 5 6 Closing price Return Co-efficients Significance 4.19716 -2.13E-05 6.36807 27.e. 1 Variable Closing price Returns Opening Price Returns CoSignificance CoSignificance 2 3 efficients Constant 5.619723 -2.83012 -2.741486 -1.924552 0.595156 0. 1) process of the S & P CNX Nifty after the introduction of the nifty index futures and index options simultaneously.929942 Opening Price Returns Co-efficients Significance 4.67E-05 6.054770 efficients 4.89E-05 0.722494 -2.74136 29.30478 -5.84E-05 0. -1.957923 1.42E-06 0.39926 32.71E-05 -1.037633 6.Table 3: Impact of Nifty Futures on the Spot Market (Garch 1.51474 0.00E-05 S&P CNX 0.184532 0.869729 0.233087 0.60119 -5. For futures and options the co-efficient of the dummy variable is negative i.26E-05 10.175273 0. 1 Variable 2 Constant 3 S&P CNX Nifty Index ARCH 1 GARCH 1 O DUMMY 4 5 6 Closing price Returns Co-efficients Significance 4.141931 0.43919 27.28E-05 respectively.050973 2.41E-05 11.69E-05 11.046675 1.91E-05 and -1.636265 0.765881 10.038127 1.66E-05 6.49142 -5.927439 10.64046 29.1) SL.28E-05 Table-5 shows the results of the GARCH (1.179239 0.683201 4 5 6 7 Nifty Index ARCH 1 GARCH 1 F DUMMY O DUMMY 10.036811 1.83160 -3.22E-05 6.715988 -2.91E-05 -1.

001368 0.06139 -5.150325 0. Similarly. Further. growth forecast.029894 2.77E-06 5.040086 1.35E-06 5. etc. the coefficients of dummies still remain negative. the co-efficients of the dummies are -2. there might be any change in the volatility due to the world-wide market factors like change in the volatility of the US stock market.644826 11 93. The market wide factors are information news releases relating to economic conditions like inflation rates.029766 2.79E-05 6.410215 0.17332 .061603 10.001214 0.587291 Table 7: Impact of Nifty Options after Controlling Market Wide Factors SL.586080 0. these do not have any significant impact on the volatility of the spot market. and are closer to zero indicating that it has a negligible effect on the volatility of the spot market. To remove the market wide factors Junior Nifty was introduced as a proxy variable in the mean equation of the GARCH technique.00E-06 for closing price returns and opening price returns respectively.947178 92.615001 0.56E-05 and -2.795230 46. 1 Variable 2 Constant 3 S&P CNX Nifty 4 Index Junior Nifty Closing price Returns Co-efficients Significance 0.93078 0. which is indicated by the low values of the options and futures dummies. exchange rate.687650 3.79E-06 3.742966 -2.79E-06 for the opening price returns for futures.649163 Opening Price Returns Co-efficients Significance 6.159395 0.94E-05 for closing price returns and -1.62763 -2.levels. The co-efficients of the dummy variable is -2. in the case of options.044533 1.831996 Opening Price Returns Co-efficients Significance 6.000797 2.066731 0.855002 -1.011332 0.94E-05 0.067003 0.58469 29. That is why S & P 500 index has taken to capture the World wide fluctuations. 1 Variable 2 Constant 3 S&P CNX Nifty 4 5 6 7 8 Index Junior Nifty S & P 500 ARCH 1 GARCH 1 F DUMMY Closing price Returns Co-efficients Significance 4.093469 0. monetary policy.410020 0. Table 6: Impact of Nifty Futures after Controlling Market Wide Factors SL.078232 7. After controlling the market-wide and world-wide factors.778669 0.685480 0.

753913 -2. ARCH is the coefficient of the square of the error term.013897 0.881796 -1.25E-06 0. Similarly.137723 0.145774 0.043207 1. Similarly. This will allow us to compare the nature of the volatility in each period.063619 9.99E-05 -1.748425 0. Table 8: Volatility after controlling Futures and Options simultaneously 1 2 3 Closing price Returns Variable Co-efficients Significance Constant 0.734977 -1.098601 0.030339 2. for options the whole period has been divided into options pre-options and post-options.024593 0.63286 -5.990090 26.000808 2. the whole period is divided into pre-futures and post-futures.31E-05 3.001451 0.067406 0.000103 -0.543172 91.32821 -3.776883 Opening Price Returns Co-efficients Significance -0. but it has a very little impact on the underlying market.686702 -0.721878 0.742749 42. 12 .10E-06 -1.457887 4 5 6 7 8 9 Index Junior Nifty S & P 500 ARCH 1 GARCH 1 F DUMMY O DUMMY 0.09954 -1.907747 44.672726 S&P CNX Nifty 0.0000011 for closing and opening price returns respectively.56E-05 -0.097386 0.000873 0. The futures dummies are -0.273382 -2.5 6 7 8 S & P 500 ARCH 1 GARCH 1 O DUMMY -0. 1) technique has estimated separately for each sub-sample.038314 10.828292 7. the options dummies are -0.96302 -0.845757 -1.0000131 and -0.0000199 and -0. and GARCH (1.033443 To address the structure of the volatility after the introduction of futures.94410 30.00E-06 0. The sign of the co-efficients of the dummies shows that volatility has declined in the post-derivatives segment. and shows the effect of recent news to the market whereas GARCH is the coefficient of the lagged variance term and captures the effect of the old news in the market.787367 Table-8 presents the results for Nifty index volatility after introduction of futures and options simultaneously.16185 -2. thereby controlling market wide factors and world wide factors.497148 0.0000012 respectively for closing and opening prices. GARCH equation has two effects: one is ARCH effect and second one is GARCH effect.845147 -2.496204 7.

02E-04 (3.69594) (17.84734) Volatility before and after introduction of the futures (Opening Price Returns) Part-B Parameters Constant Pre-Futures 4.739383 (40.130740) 0.287125) 0. The estimates show that co-efficient ARCH was 0.71E-05 ARCH (1) (3. The co-efficient of the GARCH is 0.18E-05 Pre-Options Post-Options 2.863265 (4.103590 0. Similarly.09872) (44.092624 GARCH (1) (4.163719) 0.033575) 0.74E-05 3. It indicates that the effect of the old news has declined in the post-futures period.092624 after the introduction of the futures and options.1035 and it declined to 13 .Table 9: Volatility before and after the introduction of the futures (Closing Price returns) Part-A Parameters Constant Pre-Futures 2.894716 (3.030230) 0.120490) (4.68E-05 Post-futures 8.085160 0. The GARCH coefficient shows a decline for both futures and options as in the case of closing price returns.065162 (2.337653) 0.77E-05 Post-Options 1.286776) 0.07E-05 Pre-Options 4.06516 and 0.25E-05 Post-futures 3.83962) Part-A of the Table-9 reports the results of the structure of volatility in pre and postfutures regime.405131) 0.053302 (2.43926) (22. It shows an increase in the coefficient of the ARCH both in case of futures and options.807116 in post-options.141328) (3.455743) 0. Part-B of the Table-9presents the results of opening price returns.876160 (4. the ARCH co-efficient in the pre-futures was 0.805642 (6.873138) (3. But.780181 (4.90285 in pre-options and declined to 0.8947 in pre-futures and 0.093001 0.12237 (3.131523 GARCH (1) (6.53302 before the introduction of the futures and options trading respectively and 0.97215) (32.90285 (2.238615) ARCH (1) 0.656031) 0.18146) (54.12237 and 0.015565) 0.386409) 0. which indicate that there is an increase in the impact of the recent news on spot market volatility in the postderivatives phase.78081 in post-futures and 0.34288) (13.807116 (51.

Further. there has been an increase in the recent news to the spot market and at the same time. It indicates that the recent information absorbs more rapidly than the old news in the stock market. The results reported for the S & P CNX Nifty index indicate that the existence of futures and options market made little impact on the underlying level of volatility as measured by the GARCH technique for both closing as well as opening price returns.0930 in the post-futures. The overall results show that in the post futures and options period. a decline in the GARCH co-efficient shows that the impact of old news has declined in the post-derivatives scenario.0. CONCLUSIONS This paper examines the impact of futures and options trading in S & P CNX Nifty futures contract on the underlying market using GARCH techniques. A similar result has been obtained for options as well. 14 . it is based on both closing as well as opening price returns. The results of both closing and opening price returns for futures explores that the surge of recent information to the stock market has increased while the impact of the old news has declined in the post-derivatives scenario. 6. It may lead to the increase in the efficiency of the market.

• July 2001Trading in stock options commenced. 1999: Enactment of the Securities Laws (Amendment) Act which defined derivatives as securities.Appendix-1 Chronology of Events leading to Derivatives Trading in India • 1956: Enactment of the securities contracts (Regulation) Act which prohibited all options in securities. 15 . • • 2000Withdrawal of 1969 notification • May 2000: SEBI granted approval to NSE and BSE to commence trading of derivatives • . • 1995: Promulgation of the Securities Laws (Amendment) Ordinance which withdrew prohibitions on options. • 1998: Constitutions of J. R. Gupta Committee to develop regulatory framework for derivatives trading in India.June 2000Trading in Index futures commenced. Ban on all deferral products imposed. • June 2001Trading in index options commenced.C. Varma Group to develop measures for risk containment for derivatives. • 1996: Setting Up of L. • 1969: Issue of Notifification which prohibited forward trading in securities. Rolling settlement introduced for active derivatives.

15 0.05 0 Series1 1 88 175 262 349 436 523 610 697 784 871 958 1045 1132 1219 1306 1393 1480 1567 1654 1741 1828 1915 2002 -0.1 Returns 0. Returns of Nifty Index 0.15 Time 16 .05 -0.1 -0.• Nov 2001Trading in stock futures commenced.

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