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Interdependence between spot and futures equity markets   Vijay Kumar and Boppanna Nagarjuna

Interdependence between spot and futures equity markets

92 страниц. 2012 год.
LAP Lambert Academic Publishing
Indian capital markets have been witnessed a major transformation and structural changes over the past one decade as a result of ongoing financial sector reforms initiated by the Government. This study investigated the lead lag relationship between the spot and futures equity market in India, both in terms of return and volatility, examines the lead lag relationship between the spot and futures markets for asymmetric information and also incorporate price co-integration relationship between spot and futures markets in the lead lag relationship analysis. We employed data in the study consists of intraday price histories from JAN 2001 to November 2005 for the nearby contract of nifty index futures and Index.We find a strong contemporaneous relationship between futures and cash prices, along with some significant evidence that futures markets leads spot market during times of high volatility. Consequently, reactions in futures markets are faster, and movements in futures prices lead spot...
 
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