The Dynamic Relationship of Spot and Futures Market: A Study of BANKNIFTY Index of India
Vasantha G,
The Dynamic Relationship of Spot and Futures Market: A Study of BANKNIFTY Index of India - 28-38 p.
This study examines the dynamic relationship between the spot and derivatives market of India. Specifically, the spot and futures market are studied using the intraday data set of BANKNIFTY index of NSE and the data is recorded from the NSE. Co-integration test and vector error correction test are used and the results show that both spot and futures market contain long run co-integration relationship and they share the news content each other in the long run. Further, this study shows that in the short run both the markets correct themselves for the deviations, however, the degree and speed of correction in the spot market is faster than the futures market. Hence, this study concludes with a note that though there exists a bi-directional lead-lag relationship between the BANKNIFTY spot and futures market, the index spot market is dominating over the futures market.
spot market futures market BANKNIFTY
The Dynamic Relationship of Spot and Futures Market: A Study of BANKNIFTY Index of India - 28-38 p.
This study examines the dynamic relationship between the spot and derivatives market of India. Specifically, the spot and futures market are studied using the intraday data set of BANKNIFTY index of NSE and the data is recorded from the NSE. Co-integration test and vector error correction test are used and the results show that both spot and futures market contain long run co-integration relationship and they share the news content each other in the long run. Further, this study shows that in the short run both the markets correct themselves for the deviations, however, the degree and speed of correction in the spot market is faster than the futures market. Hence, this study concludes with a note that though there exists a bi-directional lead-lag relationship between the BANKNIFTY spot and futures market, the index spot market is dominating over the futures market.
spot market futures market BANKNIFTY