Interdependence between spot and futures equity markets - An evidence from India

by Kumar, Vijay
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Kumar, Vijay Interdependence between spot and futures equity markets - An evidence from India
Kumar, Vijay - Interdependence between spot and futures equity markets - An evidence from India

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Description

Indian capital markets have been witnessed a major transformation and structural changes over the past one decade as a result of ongoing financial sector reforms initiated by the Government. This study investigated the lead lag relationship between the spot and futures equity market in India, both in terms of return and volatility, examines the lead lag relationship between the spot and futures markets for asymmetric information and also incorporate price co-integration relationship between spot and futures markets in the lead lag relationship analysis. We employed data in the study consists of intraday price histories from JAN 2001 to November 2005 for the nearby contract of nifty index futures and Index.We find a strong contemporaneous relationship between futures and cash prices, along with some significant evidence that futures markets leads spot market during times of high volatility. Consequently, reactions in futures markets are faster, and movements in futures prices lead spot price fluctuations.

Contributors

Author:
Kumar, Vijay
Nagarjuna, Boppanna

Further information

Biography Artist:
Dr. Vijay Kumar Varadi works at ICRIER. He has done his masters, M.Phil and Ph.D. from Hyderabad Central University. Dr. Vijay has an extensive experience in the areas of Financial Economics, Money and Banking. He has published in several national and international refereed journals.
Language:
Englisch
Number of Pages:
92
Media Type:
Taschenbuch
Publisher:
LAP Lambert Academic Publishing

Master Data

Product Type:
Paperback book
Package Dimensions:
0.22 x 0.15 x 0.005 m; 0.186 kg
GTIN:
09783659144936
DUIN:
317F0GM8UOD
$60.99
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