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...

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...

Besides the well-established fact towards the requirement of market based instrument, there is always been a doubt, as expressed by different bodies, on the usefulness and suitability of futures contract in developing the underlying agricultural commodity market, especially in agricultural based...

An attempt has been made to establish the fact that by investing in commodities or it alternative channels, institutional investors like banks can not only compensate for the lower risk-free returns in their major chunk of investments in Government securities, but also will be able to diversify...

The capital market of an economy is considered to be well developed, only when a parallel development is ensured both in the equity and the debt segment. There is no doubt that the equity market in India is quite well developed and plays a crucial role in the growth of Indian economy. At the...

Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the...

This study investigates how the comovement of stock price in both spot as well as derivative market depends upon the flow of information in those markets and how it varies over a period of time. The price comovements in both spot and futures market have been studied at the index level, industry...

Purpose – This paper aims to study the market dynamics of corporate bond yield spread in India and tried to identify the possible factors affecting bonds' liquidity, credit quality and therefore their yield spreads.Design/methodology/approach – A large sample of daily corporate bond trade...