Price discovery process in Nifty spot and future markets
CHOUHDHARY, KAPIL
Price discovery process in Nifty spot and future markets - 2013 - 55-88
This article investigates the role of price discovery in the Indian Stock merket by taking into consideration 41 individual securities and Nifty. The present article reports a study based on the daily adjustd closing price of spot and future for the time period between June 2000 to August 2010 (index) and from November 2001 to August 2010 (individual stocks). To analyze the price discovery role, engle and Granger's Residual Based approach, Johansen's cointegration test and VECM (Vector Error Correction MOdel) are used.
STOCK MARKET
332.6322
Price discovery process in Nifty spot and future markets - 2013 - 55-88
This article investigates the role of price discovery in the Indian Stock merket by taking into consideration 41 individual securities and Nifty. The present article reports a study based on the daily adjustd closing price of spot and future for the time period between June 2000 to August 2010 (index) and from November 2001 to August 2010 (individual stocks). To analyze the price discovery role, engle and Granger's Residual Based approach, Johansen's cointegration test and VECM (Vector Error Correction MOdel) are used.
STOCK MARKET
332.6322