http://www.iaeme.com/IJM/index.asp 989 editor@iaeme.com International Journal of Management (IJM) Volume 11, Issue 6, June 2020, pp. 989-1001, Article ID: IJM_11_06_087 Available online at http://www.iaeme.com/ijm/issues.asp?JType=IJM&VType=11&IType=6 ISSN Print: 0976-6502 and ISSN Online: 0976-6510 DOI: 10.34218/IJM.11.6.2020.087 © IAEME Publication Scopus Indexed A COMPARATIVE STUDY ON THE INDIAN STOCK MARKET’S EFFICIENCY DURING PRE AND POST DERIVATIVE TRADING Abhijit Dutta* Professor, Department of Commerce, Sikkim University, Gangtok, India Madhabendra Sinha Assistant Professor, Department of Management, Raiganj University, West Bengal, India *Corresponding Author E mail: adutta@cus.in ABSTRACT In Indian stock market is yet to be proved as efficient. This paper tries to understand the efficiency in term of a major event and its effect on the price formation in the stock exchanges. The models used are largely to understand the stability, stationary and Conditional Hetroscadasticity. Using SENSEX and NIFTY the study finds that, the efficiency in Indian Stock market has increased post introduction of derivative trading. Key words: Conditional Hetroscadasticity, Derivative Trading, Sensex, NIFTY, Market Efficiency, India Cite this Article: Abhijit Dutta and Madhabendra Sinha, A Comparative Study on the Indian Stock Market’s Efficiency during Pre and Post Derivative Trading. International Journal of Management, 11 (6), 2020, pp. 989-1001. http://www.iaeme.com/IJM/issues.asp?JType=IJM&VType=11&IType=6 1. INTRODUCTION The Indian stock market has deepened over a period of time due to introduction of the derivatives. It would be interesting to see the stylized return of the market due to introduction of derivatives trading to understand the integration and arbitrage opportunity in the market. It could be expected that both the spot market and the futures market would be contemporaneously integrated. That apart these markets should not be auto co-related. If there would be no co-integration, the markets could wander without bound and as a result, there would be arbitrage opportunities. If the arbitrageurs could not act quickly, there would be lead lag relationships between the returns series of the market indices. In this context it is to be understood that the deep market is a function of liquidity in the market. Thus, the study of stylization of return could very well be a function of increasing