An Empirical Analysis of Price Discovery in the NSE Spot and Futures Markets of India

The paper examines the causal relationship between Nifty spot index and index futures market in India. The empirical analysis was conducted for the daily data series from June 12, 2000 to September 12, 2008. The results reveal that there exists a long-run relationship between Nifty spot and Nifty futures prices. Further, the results confirm the presence of a bidirectional relationship between the Nifty spot and Nifty futures market prices in India. It can, therefore, be concluded that both the spot and futures markets play the leading role through price discovery process in India and said to be informationally efficient and react more quickly to each other

MoreLess

Year of publication:	2009
Authors:	Srinivasan, P.
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Indien \| India \| Spotmarkt \| Spot market \| Volatilität \| Volatility \| Kointegration \| Cointegration \| Börsenkurs \| Share price \| Schätzung \| Estimation \| Rohstoffderivat \| Commodity derivative
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The IUP Journal of Applied Finance, Vol. 15, No. 11, pp. 24-36, November 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 19, 2009 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013155421