This paper examines the relationship between the stock and futures markets in terms of cointegration (Johnson Cointegration) and lead lag relationship (Wavelet Approach). We applied the Maximum Overlap Discrete Wavelet Transform (MODWT) method to stock and futures prices of 12 near month...

The paper examined the volatility pattern of Shariah compliant stocks in India through January 2007 to July 2014. We calculate returns for each selected Shariah compliant stocks and tested for stationarity and autocorrelation using Augmented Dickey-Fuller test and Q statistics respectively. The...

We examine the performance of S&P CNX Nifty Shariah and S&P CNX Nifty index from 2nd January 2007 to 31st December 2009 by classifying the study period as overall period, bull market period and bear market period to capture the change in performance during stock market crisis. We measure the...

This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January 2008 to December 2013. This study applies GARCH (1,1)...

In this paper, we examined if the Black and Scholes model is a good descriptor of option pricing in the Indian context. We use data for Standard Poor CRISIL NSE Index 50 (S&P CNX Nifty index) options from 1st January, 2004 to 31st December, 2005. We operationalise the Black and Scholes model...