Lead-lag Relationship between the NSE Spot and Futures Market

By: Material type: ArticleArticleLanguage: ENG Series: ; 13Publication details: Apr 2007 0Edition: 4Description: 73-94 PpSubject(s): DDC classification:
  •  Pra
Online resources: Summary: The study investigates the causal relationship between spot and futures markets by employing Johansen's cointegration test and vector error correction model (VECM). The daily closing data is taken from November 9, 2001 to September 29, 2005 for the analysis. The results revealed that futures leads the spot in case of nine individual securities, spot leads futures in case of seven individual securities and that a feedback relationship exists between the two markets in case of nine individual securities.
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The study investigates the causal relationship between spot and futures markets by employing Johansen's cointegration test and vector error correction model (VECM). The daily closing data is taken from November 9, 2001 to September 29, 2005 for the analysis. The results revealed that futures leads the spot in case of nine individual securities, spot leads futures in case of seven individual securities and that a feedback relationship exists between the two markets in case of nine individual securities.

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