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- Title
Price Discovery of Indian Equity Futures.
- Authors
JOHNY, JYOTHI MARIA; RAJU, G.
- Abstract
Price discovery being related with the informational efficiency of futures market, the study examined long run and short run relationship between spot and futures market of Indian equity futures using data from the beginning of trading of equity futures in NSE which is from November 9th 2001 to July 31st 2019 and the lead lag relationship between spot and future returns was also determined using Vector Error Correction Model. The short run and long run relationship between spot and futures markets were identified and the cases of unidirectional, bidirectional and no directional relationship were found in short run and the conditions of spot leading futures and futures leading spot were found on individual stocks. The results of companies with leading futures can be used to forecast effect of futures on the spot market and policy makers can stabilize futures market through ensuring smooth run of price discovery process to avoid supernormal profit from arbitraging on price differences.
- Subjects
INDIA; FUTURES market; FUTURES; PRICES; STOCK exchanges; MARKET makers; STOCK index futures
- Publication
Finance India, 2022, Vol 36, Issue 2, p525
- ISSN
0970-3772
- Publication type
Article