Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1995 to May 2005 is studied. Daily opening and closing prices of all the major equity indices from the sample countries are examined by applying the...

This study empirically investigates the impact of some non-price variables viz., open interest and trading volume from option market in predicting the price index viz. Nifty Index in underlying cash market in India. This study applies open interest and volume based predictors for both call and...

Price co-movements and hence inter-market relations on the same day and lead-lag relations across days among India and other foreign countries all over the world, coupled with the possible forces behind the evolution of international stock market integration among India and other countries is...

By applying the open interest and volume based predictors, this study investigates the impact of two option market non-price variables in predicting the future price movements in underlying cash market over a period of time. Though being insignificant just after its initiation, the open interest...

Intraday lead-lag relationship, both in terms of return and volatility, among NIFTY spot and futures index and its variation around information release is studied. Even with a strong contemporaneous and bi-directional relationship among the markets, the spot market has been found to be stronger...