Volatility forecasting is an important area of research in financial markets and immense effort has been expended in improving volatility models, since better forecasts translate themselves into better pricing of options and better risk management. In this direction, the present paper attempts...

Johansen's cointegration and Vector Error Correction Model (VECM) are employed to examine the integration and causality between the two dominating Indian stock markets: the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The daily closing prices of NSE S&P CNX Nifty and the...

Johansen's cointegration technique followed by the Vector Error Correction Model (VECM) were employed to examine the causal relationship between National Stock Exchange (NSE) spot and futures markets prices of selected nine oil and gas industry stocks of India. The empirical analysis was...

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...