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An investigation of long-run dynamic relationship of Korean and Indian futures indexes

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  • Debasis Bagchi

Abstract

We investigate the nature of the long-term dynamic relationship between the futures indexes of Korea and India. Both the Kospi 200 futures index and Nifty futures index are found to be non-stationary and cointegrated, meaning thereby that a long-term dynamic equilibrium relationship exists between them along with a Granger cause bidirectional relationship. The VECM results indicate that a lagged relationship exists between the two indexes. While lag 1 and lag 3 are statistically significant for Kospi 200 futures – Nifty futures, lag 4 and lag 6 are significant for Nifty futures – Kospi 200 futures. It is suggested that while information on Kospi 200 futures is more instantaneously discounted by the Nifty futures, the information on Nifty futures is relatively slowly discounted by the Kospi 200 futures index. The impulse response analysis suggests that the price discovery process is more efficient for Kospi 200 futures index than for Nifty futures index.

Suggested Citation

  • Debasis Bagchi, 2009. "An investigation of long-run dynamic relationship of Korean and Indian futures indexes," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(4), pages 306-321.
  • Handle: RePEc:ids:afasfa:v:1:y:2009:i:4:p:306-321
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