Vijay Kumar
Interdependence between spot and futures equity markets
An evidence from India
Buch
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 Novemb…
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Beschreibung
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.
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Produktdetails
Weitere Autoren: Nagarjuna, Boppanna
- ISBN: 978-3-659-14493-6
- EAN: 9783659144936
- Produktnummer: 37752436
- Verlag: LAP Lambert Academic Publishing
- Sprache: Englisch
- Erscheinungsjahr: 2012
- Seitenangabe: 92 S.
- Masse: H22.0 cm x B15.0 cm x D0.6 cm 155 g
- Abbildungen: Paperback
- Gewicht: 155
Über den Autor
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.
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