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Price discovery and volatility transmission in currency spot and futures markets in India : an empirical analysis

Sakthivel, P.; Chittedi, Krishna Reddy; Sakyi, Daniel - In: Global business review 20 (2019) 4, pp. 931-945

Persistent link: https://www.econbiz.de/10012137518

Global financial crisis and contagion : evidence for the "BRIC" economies

Chittedi, Krishna Reddy - In: The journal of developing areas 48 (2014) 4, pp. 243-264

Persistent link: https://www.econbiz.de/10010431448

Financial crisis and contagion effects to Indian stock market : "DCC-GARCH" analysis

Chittedi, Krishna Reddy - In: Global business review 16 (2015) 1, pp. 50-60

Persistent link: https://www.econbiz.de/10011309951

Price Discovery and Volatility Spillover between Spot and Futures Markets : Evidence from India

Sakthivel, P. - 2010

The present study investigates the role of information in price discovery function and volatility spillover in Nifty and S&P CNX Nifty futures by employing two-step TGARCH procedures. First, the study examines short and long-run relationship between S&P CNX Nifty index and Nifty index futures in...

Persistent link: https://www.econbiz.de/10013145099

Futures expiration day effects on spot market volatility : evidence from the NSE

Sakthivel, P.; Kamaiah, Bandi - In: The Asian economic review : journal of the Indian … 50 (2008) 3, pp. 571-585

Persistent link: https://www.econbiz.de/10003836302

Correlation and volatility transmission across international stock markets : a bivariate GARCH analysis

Sakthivel, P.; Bodkhe, Naresh; Kamaiah, Bandi - In: International journal of economics and finance 4 (2012) 3, pp. 253-264

Persistent link: https://www.econbiz.de/10009613311