RELATION BETWEEN OPEN INTEREST AND VOLATILITY IN FUTURES MARKETS
Journal: Journal of Management (JOM) (Vol.5, No. 1)Publication Date: 2018-02-28
Authors : JAY DESAI; NISARG A JOSHI;
Page : 14-21
Keywords : Future; Nifty Index; Indices; E-Garch; Volatility and Open interest;
Abstract
This paper emphasizes on investigation of the relation of the open interest for the Nifty Index futures. The purpose of this paper is to examine the consequence of open interest on volatility of futures markets. An effort was made to capture the size and change in speculative behaviour in futures markets by examining the role of open interest in the behaviour of futures prices. The findings show that depth of the market has an effect on the futures markets volatility but the direction of this effect depends on the type of contract.
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