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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 … next period. The results of TGARCH model reveal a bidirectional volatility spillover between spot and near, middle and far …
Persistent link: https://www.econbiz.de/10013145099
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Futures Trading and Spot Market Volatility : A Case of S&P CNX Nifty Index
Kamaiah, Bandi - 2010
An attempt is made here to investigate the relationship between stock market volatility and trading activity (trading … spot market volatility. The results show that the spot market volatility bears a positive relationship with unexpected …
Persistent link: https://www.econbiz.de/10013144796
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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
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Hedging efficiency of commodity futures markets in India
Yaganti, C. Hussain; Kamaiah, Bandi - In: The IUP journal of financial risk management : IJFRM 9 (2012) 2, pp. 40-58
Persistent link: https://www.econbiz.de/10009570250
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Hedging Efficiency of Commodity Futures Markets in India
Yaganti, C. Hussain - 2012
The present study investigates the hedging effectiveness of commodity futures contracts for spices and base metals by employing cointegration and error correction methodology with different maturity time horizons varying from one month to three months, i.e., maturity month, nearby month and far...
Persistent link: https://www.econbiz.de/10013098681
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Volatility and its persistence in the Indian stock market : a case study of 30 scrips
Mohanty, Prabir Kumar; Kamaiah, Bandi - In: Journal of foreign exchange and international finance : … 13 (2000) 4, pp. 289-303
Persistent link: https://www.econbiz.de/10001583409
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Long memory in stock market volatility : Indian evidences
Hiremath, Gourishankar S.; Kamaiah, Bandi - In: Artha vijñāna : journal of the Gokhale Institute of … 52 (2010) 4, pp. 332-345
Persistent link: https://www.econbiz.de/10009300204
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Estimating volatility pattern in stock markets : the Indian case
Das, Saheli; Kulkarni, Archana; Kamaiah, Bandi - In: The IUP journal of applied economics 13 (2014) 4, pp. 42-51
Persistent link: https://www.econbiz.de/10010438488
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Estimating Volatility Pattern in Stock Markets : The Indian Case
Das, Saheli - 2015
This paper examines the volatility pattern in Indian stock markets during the time period January 1, 2011 to March 31 … models like Exponential GARCH (EGARCH) and Threshold GARCH (TGARCH to explain the volatility. Considering the minimum values … model for return volatility over EGARCH. The findings suggest that there is no volatility persistence as well as leverage …
Persistent link: https://www.econbiz.de/10013015878
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Long Memory in Stock Market Volatility : Indian Evidences
Hiremath, Gourishankar S. - 2011
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …
Persistent link: https://www.econbiz.de/10013123503