*Associatet Professor, Anna University, Regional Center, Coimbatore, India
**Assistant Professor, K. S. Rangasamy College of Technology, Tiruchengode, India
Online published on 2 July, 2016.
Today every investor wants to make more money with in a stipulated/short period. Large number of people involving in the buying & selling of securities in capital market. Capital market has governed by 3 largest stock exchanges namely NSE, BSE & MCX (SX). From the above stock exchanges induced by a number of creative financial instruments innovated by investors like equities, debentures, bonds, preference shares, mutual funds, ETF & Future and Options etc.., Each of the above classified securities are associated with risk & volatility. Volatility is the frequency of price changes/fluctuations happens at a stipulated period of time. In other words, it can be said that it gives the maximum possible chances to make a return for every investment. This volatility is playing a vital role of securities market to take a risk & return.
Present this study deals with the effects of Bank futures contract value with the changes in their underlying assets of Bank Nifty Indices. The period of this study covers 3 months from Dec1, 2013 to Feb 15, 2014. Here the researcher tries to understand the how volatility of bank nifty indices correlated with the values of bank nifty future contracts, and make a analysis of the above to find the future projected values of Bank Nifty Future Contracts.
From the above study, the researcher took the basic econometric models of Correlogram test, QQ Plot, ADF test, KPSS test, ARMA & GARCH Models. These econometric models finds the variables are stationary or non-stationary, if its non-stationary, analysis the log of futures data, then applying the models of ADF, KPSS, ARMA & GARCH models to measuring the risk level associated with the returns and it helps to predict the future values also.
Present study covers with the 8 different sections that are the first one is introduction about the Financial Derivatives and Bank Nifty Futures and Bank Nifty Indices. The second is the objectives of the study, and the third, fourth & fifth covers the titles of Review of Literature, Market Data and Sample and Methodology has used. Rest of the sixth, seventh & eighth describes the data analysis & interpretation, findings of the study and Conclusion.
