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DYNAMIC LINKAGES BETWEEN SINGAPORE AND NSE LISTED NIFTY FUTURES AND NIFTY SPOT MARKETS
, Shreya Bose
Published in THE UNIVERSITY OF BUCKINGHAM PRESS
2017
Volume: 10
   
Pages: 1 - 13
Abstract

This study examines the dynamic linkages of Nifty stock index and Nifty index futures contract traded on the home market, National Stock Exchange (NSE) and on the off-shore market, Singapore Stock Exchange (SGX). The study uses daily closing prices of the Nifty index and the Nifty futures contract traded on both the exchanges for the period July 15, 2010 to July 15, 2016. The study finds a causality running from the returns of the spot market to the returns from the Nifty futures market in both the exchanges, NSE and SGX, with the help of Vector Error Correction model and Granger causality test. Variance Decomposition and Impulse Response Analysis also confirm that the spot market is the leading market in price discovery, making it the most efficient amongst others.

About the journal
JournalJournal of Prediction Markets
PublisherTHE UNIVERSITY OF BUCKINGHAM PRESS
ISSN1750 676X
Open AccessNo
Concepts (3)
  •  related image
    Cross listing
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    Index futures
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    Informational efficiency