000			01499pab a2200205 454500
008			140923b0 xxu||||| |||| 00| 0 eng d
040			_cWelingkar Institute of Management Development & Research, Mumbai _aWelingkar Institute of Management Development & Research, Mumbai
041			_aENG
082			_a _bGup
100			_aGupta Kapil
245			_aPrice Discovery Through Indian Equity Futures Market. (With Abstract)
250			_a12
260			_a _bDec 2006 _c0
300			_a70-86 Pp.
490			_v12
520			_aThis 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			_aEquity Futures Market,
856			_uhttp://192.168.6.13/libsuite/mm_files/Articles/AR8324.pdf
906			_a24427
999			_c28247 _d28247