| 000 | 02223nam a2200229 4500 | ||
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| 999 |
_c52900 _d52900 |
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| 003 | OSt | ||
| 005 | 20191122131327.0 | ||
| 008 | 191122b ||||| |||| 00| 0 eng d | ||
| 100 |
_aSakthivel, P. _935035 |
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| 245 | _aPrice Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis | ||
| 300 | _a931-946 p. | ||
| 520 | _aThis 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 | _aPrice discovery | ||
| 653 | _avolatility transmission | ||
| 653 | _acurrency spot | ||
| 653 | _acurrency futures, | ||
| 653 | _aco-integration | ||
| 700 |
_aReddy Chittedi, Krishna _935036 |
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| 700 |
_aSakyi, Daniel _933123 |
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| 773 | 0 |
_029349 _977276 _aBANIK, ARINDAM _dNEW DELHI SAGE PUBLISHING PVT. LTD. _o55511087 _tGLOBAL BUSINESS REVIEW _x0972-1509 |
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| 942 |
_2ddc _cJA-ARTICLE |
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