This study examines the ‘intraday' volatility patterns of NSE's Nifty Index from August 2000 to December 2003. The tick by tick index returns are categorized into three groups – opening price to thirty minutes after opening price (morning sample), thirty minutes after opening price to...

In this paper, we use multivariate GARCH models to analyze dynamic linkages between gold and equity price returns. We model dynamic conditional correlations and volatility spillovers between these assets. Our results indicate that spot gold can be an effective hedge against stock prices. A $1...

In this paper, we chiefly address the determinants of off-shore listed prices of Indian and Chinese derivatives, especially when the underlying spot markets are closed for trading. Using microstructure data, we split a trading day of the underlying into three segments – pre-market hours,...