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


  • P Sakthivel
  • B Kamaiah


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

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    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.

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