Contribution Of Indian Index Futures To Price Formation In The Stock Market

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Contribution of Indian Index Futures to Price Formation in the Stock Market

Author : Suchismita Bose
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Contribution of Indian Index Futures to Price Formation in the Stock Market by : Suchismita Bose

Download or read book Contribution of Indian Index Futures to Price Formation in the Stock Market written by Suchismita Bose and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyse whether the Indian Stock Index Futures market plays an important role in the assimilation of information and price discovery in the stock market. Using Futures prices for the Samp;P CNX Nifty Index traded on the National Stock Exchange of India, we find that there is significant information flow from the futures to the spot market and futures prices/returns have predictive power for the spot prices. If we take account of the long run relation between the two price series we find clear bidirectional information flows or feedback between the markets. The contributions of the two markets to the price discovery process are also almost equal with the futures showing a marginal edge over the spot market, as the information flow into the stock prices from the futures is slightly higher than the price information flows to the futures market from the spot market. The futures market also readjusts faster to market-wide information and thus absorbs much of the volatility induced by flow of new information.

Price Discovery in Indian Stock Index Futures Market

Author : Sarveshwar Inani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Price Discovery in Indian Stock Index Futures Market by : Sarveshwar Inani

Download or read book Price Discovery in Indian Stock Index Futures Market written by Sarveshwar Inani and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to revisit price discovery process in Indian stock market for spot and futures of S&P CNX Nifty, by using high-frequency data to gain fresh insights. The sample consists of high-frequency data for the period from January 2014 to August 2015. Stationarity and cointegration test results reveal that spot and futures prices are I(1) and cointegrated. Three different econometric methodologies - component share method of (Gonzalo and Granger, 1995), information share method of (Hasbrouck, 1995), and modified information share of (Lien and Shrestha, 2009) - have been employed to determine the extent of price discovery contribution by spot and futures markets. The results reveal that futures market is performing its price discovery function. These results support the notion that futures market in more efficient vis-à-vis spot market in India. Price discovery is a main function of futures market and has implications for asset pricing, portfolio allocation, investment strategy formation, and market efficiency. This study might be helpful for regulators and policymakers to form market structure policies and guidelines for equity markets.

An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India

Author : Srinivasan Kaliyaperumal
Publisher : GRIN Verlag
ISBN 13 : 3668659958
Total Pages : 144 pages
Book Rating : 4.6/5 (686 download)

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Book Synopsis An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India by : Srinivasan Kaliyaperumal

Download or read book An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India written by Srinivasan Kaliyaperumal and published by GRIN Verlag. This book was released on 2018-03-13 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.

Futures Trading Impact on Stock Market Volatility and Hedging Efficiency

Author : Chandra Bhola
Publisher : Ary Publisher
ISBN 13 : 9788798623045
Total Pages : 0 pages
Book Rating : 4.6/5 (23 download)

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Book Synopsis Futures Trading Impact on Stock Market Volatility and Hedging Efficiency by : Chandra Bhola

Download or read book Futures Trading Impact on Stock Market Volatility and Hedging Efficiency written by Chandra Bhola and published by Ary Publisher. This book was released on 2023-06-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the impact of futures trading on stock market volatility and hedging efficiency, focusing on the S&P CNX Nifty index and select stocks in India. By conducting a comprehensive analysis, this research aims to examine the relationship between futures trading activity and its influence on market volatility and the effectiveness of hedging strategies. The study utilizes empirical methods to evaluate the effects of futures trading on stock market volatility. It analyzes the S&P CNX Nifty index, which represents the broader market, and specific individual stocks to understand how futures trading impacts price fluctuations and overall market stability. Furthermore, the research assesses the hedging efficiency of futures contracts as risk management tools. It examines whether investors can effectively hedge their positions and reduce portfolio risk through futures trading. By evaluating the effectiveness of hedging strategies in the context of the Indian stock market, this study provides valuable insights for market participants. Overall, this study delves into the impact of futures trading on stock market volatility and hedging efficiency in India. By examining the S&P CNX Nifty index and select stocks, it aims to shed light on the relationship between futures trading and market dynamics. The findings contribute to the understanding of risk management practices and assist investors in making informed decisions related to hedging strategies in the Indian stock market.

Intraday Price Formation in Us Equity Index Markets

Author : Joel Hasbrouck
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Intraday Price Formation in Us Equity Index Markets by : Joel Hasbrouck

Download or read book Intraday Price Formation in Us Equity Index Markets written by Joel Hasbrouck and published by . This book was released on 2008 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altered by the advent of exchange-traded funds (ETFs) that mirror the indexes, electronically-traded, small-denomination (quot;E-miniquot;) futures contracts, and (for the Samp;P 500) a family of sector ETFs that break the index into nine components. This paper empirically investigates price discovery (price leadership) in this new environment. The specifications are estimated at very fine (up to one second) time resolution. The principal findings are as follows.- For the Samp;P 500 and Nasdaq-100 indexes, the index market comprises an ETF, a regular floor-traded futures contract and an E-mini futures contract. The paper finds that most of the price discovery for both indexes occurs in the E-mini markets: price changes in the E-mini futures prices generally lead those in the regular futures contracts and the ETFs. - The market in the Samp;P 400 MidCap index comprises only the ETF and the regular futures contract. Both securities contribute substantially to price discovery, but the ETF appears to dominate.- The sector ETFs can closely replicate the Samp;P 500 ETF. Nevertheless, trading activity across the sector ETFs varies considerably. The most actively traded sector (technology) contributes a modest amount to price discovery in the overall index. The other sector ETFs play only a minor role.

Proceedings of the Seventh International Conference on Management Science and Engineering Management

Author : Jiuping Xu
Publisher : Springer Science & Business Media
ISBN 13 : 3642400817
Total Pages : 762 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Proceedings of the Seventh International Conference on Management Science and Engineering Management by : Jiuping Xu

Download or read book Proceedings of the Seventh International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer Science & Business Media. This book was released on 2013-09-25 with total page 762 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the Seventh International Conference on Management Science and Engineering Management (ICMSEM2013) held from November 7 to 9, 2013 at Drexel University, Philadelphia, Pennsylvania, USA and organized by the International Society of Management Science and Engineering Management, Sichuan University (Chengdu, China) and Drexel University (Philadelphia, Pennsylvania, USA). The goals of the Conference are to foster international research collaborations in Management Science and Engineering Management as well as to provide a forum to present current research findings. The selected papers cover various areas in management science and engineering management, such as Decision Support Systems, Multi-Objective Decisions, Uncertain Decisions, Computational Mathematics, Information Systems, Logistics and Supply Chain Management, Relationship Management, Scheduling and Control, Data Warehousing and Data Mining, Electronic Commerce, Neural Networks, Stochastic Models and Simulation, Fuzzy Programming, Heuristics Algorithms, Risk Control, Organizational Behavior, Green Supply Chains, and Carbon Credits. The proceedings introduce readers to novel ideas on and different problem-solving methods in Management Science and Engineering Management. We selected excellent papers from all over the world, integrating their expertise and ideas in order to improve research on Management Science and Engineering Management.

Emerging Issues in Finance

Author : Dr Saif Siddiqui
Publisher : Dr Saif Siddiqui
ISBN 13 : 8192233146
Total Pages : 845 pages
Book Rating : 4.1/5 (922 download)

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Book Synopsis Emerging Issues in Finance by : Dr Saif Siddiqui

Download or read book Emerging Issues in Finance written by Dr Saif Siddiqui and published by Dr Saif Siddiqui. This book was released on 2017-10-11 with total page 845 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited Conference Proceedings Volume I

High Frequency Trading and Limit Order Book Dynamics

Author : Ingmar Nolte
Publisher : Routledge
ISBN 13 : 1317570774
Total Pages : 325 pages
Book Rating : 4.3/5 (175 download)

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Book Synopsis High Frequency Trading and Limit Order Book Dynamics by : Ingmar Nolte

Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Efficiency and Price Discovery in the Stock and Index Futures Markets

Author : Mario Gabriel C. Reyes
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.:/5 (172 download)

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Book Synopsis Efficiency and Price Discovery in the Stock and Index Futures Markets by : Mario Gabriel C. Reyes

Download or read book Efficiency and Price Discovery in the Stock and Index Futures Markets written by Mario Gabriel C. Reyes and published by . This book was released on 1987 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Informational Efficiency in Futures' Markets in India's National Stock Exchange

Author : Yu Cong
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Informational Efficiency in Futures' Markets in India's National Stock Exchange by : Yu Cong

Download or read book Informational Efficiency in Futures' Markets in India's National Stock Exchange written by Yu Cong and published by . This book was released on 2007 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides estimates of overall informational efficiency in futures markets on India's National Stock Exchange. We do not examine the price reaction to any public announcement. Instead, we invoke the Hellwig (1980) model, and exploit the property that for futures contracts the terminal value can be treated as observable, to obtain estimates of the overall signal to signal plus noise ratio in markets for single-stock and index futures on India's National Stock Exchange. The variance-covariance parameters governing futures prices and terminal values can be inverted to obtain estimates of the primitive parameters of the Hellwig (1980) model. This lets us identify the MLEs of the precision of private information and the variance of liquidity motivated trades. The signal to signal plus noise ratio - our measure of overall informational efficiency - is a function of these primitive parameters.Our primary findings show that there is considerable variation across firms in these parameters despite only large active firms being available for futures trading. Overall informational efficiency is decreasing in univariate analyses with open interest and average daily trading volume in futures and the underlying equity. In a multivariate analysis it declines in open interest in the futures market and in the trading volume of the underlying equity but is increasing in the trading volume of in the futures market. The NIFTY index shows a higher signal to signal plus noise ratio than for any of the firms. This is consistent with the idea that less manipulability is associated with greater informational efficiency.

Intraday Price Discovery in Indian Stock Index Futures Market

Author : Sarveshwar Inani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Intraday Price Discovery in Indian Stock Index Futures Market by : Sarveshwar Inani

Download or read book Intraday Price Discovery in Indian Stock Index Futures Market written by Sarveshwar Inani and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This research aims to revisit the price discovery relationship between spot and futures prices of Indian equity index S&P CNX Nifty, using neural network approach. This study uses minute-by-minute prices of 167 trading days ranging from January, 2015 to August, 2015 to gain fresh insights on price discovery. The results reveal that change in futures prices lead the change in spot prices in training and testing of our sample. Neural network is an advanced methodology which is more effective in capturing non-linear relationship between spot and futures prices. Therefore, the results of this study could be considered more reliable and more robust as compared to previous studies for Indian market. Mean absolute error of the results indicates that, incorporation of futures returns in modelling spot returns improves the model by 30.8%. Whereas, inclusion of spot returns in modelling futures returns improves the results by only 25.4%. Though bidirectional spillover effect is present between spot and futures returns, but the futures returns are more dominant and more efficient. Therefore, it could be concluded that futures market serves as price discovery vehicle.

The Stock Index Futures Market

Author : B. Thomas Byrne
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 380 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Stock Index Futures Market by : B. Thomas Byrne

Download or read book The Stock Index Futures Market written by B. Thomas Byrne and published by Irwin Professional Publishing. This book was released on 1987 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Performance Of Commodity Derivatives Market In India An Analytical Study

Author : Dr. Shaik masood
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9388805607
Total Pages : pages
Book Rating : 4.3/5 (888 download)

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Book Synopsis Performance Of Commodity Derivatives Market In India An Analytical Study by : Dr. Shaik masood

Download or read book Performance Of Commodity Derivatives Market In India An Analytical Study written by Dr. Shaik masood and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Inefficient Markets

Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 295 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Inefficient Markets by : Andrei Shleifer

Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

Stock Index Options and Futures

Author : John Millers
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Stock Index Options and Futures by : John Millers

Download or read book Stock Index Options and Futures written by John Millers and published by McGraw-Hill Companies. This book was released on 1992 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Relationship Between Spot and Futures Prices

Author : Rajni Kant Rajhans
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Relationship Between Spot and Futures Prices by : Rajni Kant Rajhans

Download or read book Relationship Between Spot and Futures Prices written by Rajni Kant Rajhans and published by . This book was released on 2015 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In developed financial markets, there is no dearth of literature on relationship between spot and future market. India, in the year 2000 introduced derivative market to provide risk mitigation mechanism to market participants. The present study concluded that there is no short-run relationship between Nifty 50 Index and Nifty 50 Futures Index while there is a long-run relationship between the two. The combined analysis of outputs of Granger Causality and Johansen co-integration provided a more rational justification and can be interpreted that possibly at a time of high volatile market when price discovery is not more on rational basis but rather on other spill-over, a short-run lead-lag relationship could not be observed between spot stock index and futures index. However, in long-run the volatility dies away and market returns back to fundamental factors and hence, there is evidence of long-run relationship between spot stock index and futures index.

Applied Time Series Analysis and Innovative Computing

Author : Sio-Iong Ao
Publisher : Springer Science & Business Media
ISBN 13 : 9048187680
Total Pages : 123 pages
Book Rating : 4.0/5 (481 download)

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Book Synopsis Applied Time Series Analysis and Innovative Computing by : Sio-Iong Ao

Download or read book Applied Time Series Analysis and Innovative Computing written by Sio-Iong Ao and published by Springer Science & Business Media. This book was released on 2010-04-21 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Time Series Analysis and Innovative Computing contains the applied time series analysis and innovative computing paradigms, with frontier application studies for the time series problems based on the recent works at the Oxford University Computing Laboratory, University of Oxford, the University of Hong Kong, and the Chinese University of Hong Kong. The monograph was drafted when the author was a post-doctoral fellow in Harvard School of Engineering and Applied Sciences, Harvard University. It provides a systematic introduction to the use of innovative computing paradigms as an investigative tool for applications in time series analysis. Applied Time Series Analysis and Innovative Computing offers the state of art of tremendous advances in applied time series analysis and innovative computing paradigms and also serves as an excellent reference work for researchers and graduate students working on applied time series analysis and innovative computing paradigms.