Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis (Record no. 52900)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02223nam a2200229 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20191122131327.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 191122b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Sakthivel, P. |
| 9 (RLIN) | 35035 |
| 245 ## - TITLE STATEMENT | |
| Title | Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 931-946 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This article investigates the price discovery and volatility transmission between currency spot and futures markets in India. Daily closing currency spot and futures prices of United States dollar/Indian Rupee (USD/INR), Japanese Yen/Indian Rupee (JPY/INR), Great Britain Pound/Indian Rupee (GBP/INR) and Euro/Indian Rupee (EUR/INR) from 1 March 2010 to 20 January 2015 were used. Both long-and short-run relationship as well as volatility transmission was investigated by the use of Engle Granger co-integration test, error correction mechanism, causality test and the bivariate GARCH model. The co-integration results proved that there is a long-run relationship between currency spot and futures prices. The study finds that there is a unidirectional causal relationship from currency spot to futures prices of JPY/INR, GBP/INR and EUR/INR. Further, results conclude the bidirectional causal relationship between USD/INR currency spot and futures prices. The result further shows that the spot market adjusts to new information faster than futures market suggesting that spot price leads the futures price and contributes largely to price discovery. Finally, the results show that there is unidirectional volatility transmission from currency spot to futures prices of JPY/INR, GBP/INR and EUR/INR and bidirectional spillover between currency spot and futures prices of USD/INR. Based on the findings, relevant policy recommendations are made. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Price discovery |
| Uncontrolled term | volatility transmission |
| Uncontrolled term | currency spot |
| Uncontrolled term | currency futures, |
| Uncontrolled term | co-integration |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Reddy Chittedi, Krishna |
| 9 (RLIN) | 35036 |
| Personal name | Sakyi, Daniel |
| 9 (RLIN) | 33123 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 77276 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 55511087 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 22/11/2019 | Vol 20, No 4/ 55511087JA7 | 55511087JA7 | 22/11/2019 | 22/11/2019 |