Price discovery process in Nifty spot and future markets

By:

CHOUHDHARY, KAPIL

Contributor(s):

BAJAJ, SUSHIL

Material type:

Mixed materialsPublication details: 2013Description: 55-88Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: GLOBAL BUSINESS REVIEWMSummary: 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.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		14/1	Available		P14868

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.

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