ACADEMICIA: An International Multidisciplinary Research Journal
  • Year: 2015
  • Volume: 5
  • Issue: 2

Lead lag relationship between NSE nifty and its derivative contracts – an econometric analysis

  • Author:
  • Rajani B Bhat, V N Suresh
  • Total Page Count: 6
  • Page Number: 84 to 89

*Assistant Professor, P G & Research Department of Commerce, The Cochin College, Kochi

**Associate Professor, P G Department of Commerce, Maharajas College, Ernakulam

Online published on 3 June, 2015.

Abstract

An empirical analysis was conducted for the closing price of near month prices from 31st 9th November 2001 to March 2012 and it is collected from National Stock Exchange (NSE) website. The analysis revealed that there exists a bi-directional causal relationship between spot and futures derivative market. Also an existence of co-integration between spot and futures market is also implied. Johansen's Co-integration technique followed by the Granger Causality test was employed to examine the relationship between NSE spot and futures market for selected scrip of Nifty of NSE.

Keywords

Derivatives, Futures, Nifty, Cash Market