IDEAS home Printed from https://ideas.repec.org/a/icf/icfjae/v09y2010i2p81-97.html
   My bibliography  Save this article

Price Discovery and Volatility Spillover Between Spot and Futures Markets: Evidence from India

Author

Listed:
  • P Sakthivel
  • B Kamaiah

Abstract

The 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.

Suggested Citation

  • P Sakthivel & B Kamaiah, 2010. "Price Discovery and Volatility Spillover Between Spot and Futures Markets: Evidence from India," The IUP Journal of Applied Economics, IUP Publications, vol. 0(2), pages 81-97, April.
  • Handle: RePEc:icf:icfjae:v:09:y:2010:i:2:p:81-97
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing, vol. 42(2), pages 261-284, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjae:v:09:y:2010:i:2:p:81-97. See general 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 Murty). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.