Price Discovery and Volatility Spillover Between Spot and Futures Markets: Evidence from India
AbstractThe present study investigates the role of information in price discovery function and volatility spillover in Nifty and S&P CNX Nifty futures by employing two-step TGARCH procedures. First, the study examines short and long-run relationship between S&P CNX Nifty index and Nifty index futures in near month, next month and far month prices by employing Engle-Granger cointegration and error correction model. The results of cointegration test show that there is long-run equilibrium relationship between spot and futures markets, and the spot market tends to make adjustments to re-establish the equilibrium during the next period. The results of TGARCH model reveal a bidirectional volatility spillover between spot and near, middle and far month futures.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Applied Economics.
Volume (Year): IX (2010)
Issue (Month): 2 (April)
Contact details of provider:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murthy).
If references are entirely missing, you can add them using this form.