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Impact of Economic Crises on the Price Discovery Dynamics of Spot & Index Futures Market

Avinash - 2017

We investigate the effect of economic crises on the direction of information flow and price discovery efficiency of spot and futures market by considering the near month Nifty50 index futures and its corresponding spot index. The period of study commences from January, 2004 to December, 2015 and...

Persistent link: https://www.econbiz.de/10012952496

Futures trading and commodity spot market volatility : empirical evidence on selected commodities in Indian market

Parsa, Masoud; Mallikarjunappa, T. - In: Risk and decision analysis 5 (2014) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10010492584

Lead-lag relationship and price discovery in Indian commodity derivatives and spot market : an example of pepper

Vasantha, G.; Mallikarjunappa, T. - In: The IUP journal of applied finance : IJAF 21 (2015) 1, pp. 71-83

Persistent link: https://www.econbiz.de/10011300778

Effect of futures trading on spot market volatility : a study of CNX Bank Nifty index

Mallikarjunappa, T.; E. M., Afsal - In: Decision 35 (2008) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10003880250

Lead-Lag Relationship and Price Discovery in Indian Commodity Derivatives and Spot Market : An Example of Pepper

Naik, Vasantha - 2015

This study examines the lead-lag relationship and price discovery process between spot and futures market of pepper in India by employing Johansen's cointegration test and the bivariate VECM-EGARCH(1, 1) models. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) tests are used to check the...

Persistent link: https://www.econbiz.de/10013015374