Arbitrage Opportunities in the Futures Market : A Study of NSE Nifty Futures. (With Abstract) (Record no. 28238)

MARC details
000 -LEADER
fixed length control field 01862pab a2200205 454500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140923b0 xxu||||| |||| 00| 0 eng d
040 ## - CATALOGING SOURCE
Transcribing agency Welingkar Institute of Management Development & Research, Mumbai
Original cataloging agency Welingkar Institute of Management Development & Research, Mumbai
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title ENG
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number
Item number Mis
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Misra Dheeraj
245 ## - TITLE STATEMENT
Title Arbitrage Opportunities in the Futures Market : A Study of NSE Nifty Futures. (With Abstract)
250 ## - EDITION STATEMENT
Edition statement 11
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc.
Name of publisher, distributor, etc. Nov 2006
Date of publication, distribution, etc. 0
300 ## - PHYSICAL DESCRIPTION
Extent 5-15 Pp.
490 ## - SERIES STATEMENT
Volume/sequential designation 12
520 ## - SUMMARY, ETC.
Summary, etc. This paper examines whether there is a violation of the spot-futures parity theorem in the case of NSE Nifty futures, and tries to find out the different factors behind such violation. The factors, which have been considered as the determinants of arbitrage profits, are the time to maturity; whether violation is more in rising markets or in declining markets; whether violation is more when theoretical futures price exceeds actual futures price or when actual futures price exceeds theoretical futures price; the number of contracts traded; and the change in open interest. The results indicate that there is a violation of the spot-futures parity relationship for many futures of the NSE Nifty. The results further indicate that arbitrage profits are more for far month futures contracts than for near month futures contracts; for undervalued futures market (relative to the spot market) than for overvalued futures market (relative to the spot market); for high liquid futures than for less liquid futures; and when new contracts are added than when outstanding contracts are settled. The results do not support higher or lower arbitrage profits in declining or in rising markets.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element NSC, Futures Market,
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR8301.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR8301.pdf</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
a 24418
Holdings
Withdrawn status Lost status Damaged status Not for loan Home library Current library Date acquired Cost, normal purchase price Total Checkouts Full call number Barcode Date last seen Cost, replacement price Price effective from Koha item type
        Main Library Main Library 18/12/2006 0.00   Mis AR8301 23/09/2014 0.00 23/09/2014 Articles

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