Pati, Pratap Chandra; Rajib, Prabina - In: Applied Economics Letters 18 (2011) 6, pp. 567-574
Using 5-min intraday transaction prices, this study investigates the relationship between the National Stock Exchange (NSE) S&P CNX Nifty futures and its underlying spot index in terms of both return and volatility. By applying Johansen-Juselius (J-J) cointegration analysis, we find evidence of...