Price Discovery Through Indian Equity Futures Market. (With Abstract) (Record no. 28247)

MARC details
000 -LEADER
fixed length control field 01499pab 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 Gup
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Gupta Kapil
245 ## - TITLE STATEMENT
Title Price Discovery Through Indian Equity Futures Market. (With Abstract)
250 ## - EDITION STATEMENT
Edition statement 12
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc.
Name of publisher, distributor, etc. Dec 2006
Date of publication, distribution, etc. 0
300 ## - PHYSICAL DESCRIPTION
Extent 70-86 Pp.
490 ## - SERIES STATEMENT
Volume/sequential designation 12
520 ## - SUMMARY, ETC.
Summary, etc. This paper investigates whether the Indian equity futures market is an efficient price discovery vehicle. The hypothesis has been investigated through near-month Nifty index futures and 24 stock futures. The price series is found to be non-stationary in spot as well as futures markets at levels; but by applying the Augmented Dicky-Fuller test and Philips Perron test, the first difference log returns are found to be stationary. In order to evaluate price discovery efficiency of Indian equity futures market, Johansen's Cointegration, Vector Error Correction Model (VECM) and Generalized Impulse Response Analysis are applied. Bilateral causality has been observed between futures and cash market, and the evidences further suggest that futures contracts, which are characterized with good trading volume, are useful price discovery vehicles.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Equity Futures Market,
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR8324.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR8324.pdf</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
a 24427
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Withdrawn status Lost status Damaged status Not for loan Home library Current library Date acquired Cost, normal purchase price Total Checkouts Full call number Barcode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 21/12/2006 0.00   Gup AR8324 23/09/2014 0.00 23/09/2014 Articles

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