MARC details
| 000 -LEADER |
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| fixed length control field |
01617nab a2200193 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
161006b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Jena, Sangram K |
| 245 ## - TITLE STATEMENT |
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| Title |
Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
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| Name of publisher, distributor, etc |
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| Date of publication, distribution, etc |
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| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
101-110p. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
The study attempts to gather additional evidence on the sequential information arrival hypothesis by examining the dynamic relationship between the trading volume and the volatility of CNX Nifty index futures traded on the National Stock Exchange of India. The documented result using a linear Granger causality model shows a unidirectional causality from volatility to trading volume, thus rejecting the theory of sequential arrival of information in Nifty index futures. Further, under a non-linear GARCH framework of analysis, it is reinforced that a lagged trading volume has no explanatory power of current conditional volatility, even in the presence of market depth surrogated by open interest in the Nifty futures market. Consequently, given the trading volume, the possibility of forecasting the price variability of Nifty futures is rejected. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Granger causality |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Linear and Non-linear causality |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Nifty index futures |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Volatility and sequential arrival of Information hypothesis |
| 773 0# - HOST ITEM ENTRY |
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| Host Biblionumber |
39825 |
| Place, publisher, and date of publication |
Sage Publisher New Delhi |
| Other item identifier |
S85062 |
| Title |
Vision:The Journal of Business Perspective, 20 (2) Jun 2016 |
| International Standard Serial Number |
0972-2629 |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=116490349&site=ehost-live |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Item type |
Articles |
