Futures Market - Determinants of Indian Futures Market Causal Relationship between Futures Return and Variables from Spot and Futures Markets

Auteur: Jose Babu
Taal: Engels
Futures Market - Determinants of Indian Futures Market
  • Engels
  • Paperback
  • 9783659326042
  • december 2013
  • 132 pagina's
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Samenvatting

Futures Market movement always depends on the fluctuation of the spot market. Elements of the futures market such as Open Interest, Trade volume, Volatility of futures return and Turn over are having direct link with futures return. Underlying Market return is the major influencing factor of the futures market, but the uncertain events of the futures market can be explained by observing the different relation ships of variables in the futures market.Market Depth, Market Volatility and market Trends are having causal relationship with futures return. Market responses and reflections are explained by the study with the help of econometric models like VAR Granger Causality/Block Exogeniety test, Impulse Response Function and Variance Decomposition.Indian stock and derivative markets are so speculative and volatile, the prediction of the movement is very difficult. Daily return series of S&P CNX Nifty and its underlying index from 2000 to 2010 are taken for the analysis. The whole study period is divided in to five stages as per the market movement and structural break of the data series. The empirical results of the study reveals the determinants of the futures market in India.

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Taal
Engels
Bindwijze
Paperback
Verschijningsdatum
december 2013
Aantal pagina's
132 pagina's
Illustraties
Met illustraties

Betrokkenen

Auteur
Jose Babu Lazar Daniel
Co-auteur
Lazar Daniel
Uitgever
Lap Lambert Academic Publishing

EAN

EAN
9783659326042

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Subtitel
Causal Relationship between Futures Return and Variables from Spot and Futures Markets
Thema Subject Code
KFFK

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