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Econometric Analysis between Spot and Futures Market in Indian Derivative Segment
Johansen’s Co-integration technique followed by the Granger Causality test was employed to examine the relationship between NSE spot and futures market for selected scrip of Nifty of NSE. An empirical analysis was conducted for the closing price of near month prices from 9 th November 2001 to 31 st...
| Príomhúdar: | |
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| Formáid: | Journal Article |
| Foilsithe: |
Commerce Spectrum
2014
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| Rochtain Ar Líne: | http://10.26.1.76/ks/005899pdf |
| Achoimre: | Johansen’s Co-integration technique followed by the Granger Causality test was employed to examine the
relationship between NSE spot and futures market for selected scrip of Nifty of NSE. An empirical analysis was
conducted for the closing price of near month prices from 9 th November 2001 to 31 st March 2012 and it is collected
from National Stock Exchange (NSE) website. The analysis revealed that there exists a bi-directional causal
relationship between spot and futures derivative market. Also an existence of co-integration between spot and
futures market is also implied. |
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| Cur Síos Fisiciúil: | p.33-38 Volume 2 Number 1 June 2014 |