To study price discovery & arbitrage efficiency in Indian capital market

The study is the investigates the price discovery and arbitrage efficiency in Indian equity, future and cash market which is one of the liquid market in the world by using the data available at national stock exchange of India website. In this study we found that the stable long-run and strong relationship exists between Indian equity future & cash market. In many findings it has been seen that price discovery in both the market but in Indian equity future market dominates the information transmission process.

This study also found that days to expiry do not play a significant role in the price discovery mechanism and mispricing for stock future contract has been negatively associated with days to expiry that near to expiration date. More arbitrage opportunities are available. Therefore, many investor prefer to unwind or to rollover their position before maturity date which enable them to take new position and money for them.