The present paper examines the characteristics of return volatilities in the equity market and the index futures market in India. Volatility in the NSE Nifty index and that in its futures market are both seen to exhibit features of mean reversion, volatility clustering and a fair degree of...

This study explores stock market efficiency in India after allowing for potential structural changes induced by reforms processes and/or external shocks. Failing to consider the effect of structural breaks while testing the efficient market hypothesis (EMH) could result in the flawed acceptance...