Purpose – The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models. Design/methodology/approach – The study considered six measures of volatility, the dynamic linear regression model, and the GARCH...

Purpose – The purpose of this paper is to examine the lead‐lag relationships between the National Stock Exchange (NSE) Nifty stock market index (in India) and its related futures and options contracts, and also the interrelation between the derivatives markets. Design/methodology/approach...

Purpose – The purpose of this paper is to examine the lead-lag relationships between the National Stock Exchange (NSE) Nifty stock market index (in India) and its related futures and options contracts, and also the interrelation between the derivatives markets. Design/methodology/approach –...

This study aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets using data from April 1997 to April 2007. The study considered six measures of volatility, dynamic linear regression models and the GARCH models to investigate volatility...

This paper attempts an to investigate the effect of futures trading on the stability of returns on BSE Sensex by using daily observations from January 1996 to December 2007. Three statistical tests namely, Kolmogorov Smirnov 2-sample test, Wilcoxon Rank Sum test and Goldfeld Quandt tests are...

Purpose – The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models. Design/methodology/approach – The study considered six measures of volatility, the dynamic linear regression model, and the GARCH...

Performance evaluation of the banking sector in India has assumed primal importance due to intense competition, greater customer demands and changing banking reforms. This study attempts to measure the relative performance of Indian banks over the period 1997–2004 using the...