Dynamic Linkages between Singapore and NSE listed NIFTY Futures and NIFTY Spot Markets

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Published: Jan 27, 2017
DOI: https://doi.org/10.5750/jpm.v10i2.1253
Keywords:
Cross Listing Index Futures Informational efficiency

Main Article Content

Kiran Kumar Kotha
Indian Institute of Management Indore, INDIA
Shreya Bose
IIM Indore

Abstract

This study examines the dynamic linkages of Nifty stock index and Nifty index futures contract traded on the home market, National Stock Exchange (NSE) and on the off-shore market, Singapore Stock Exchange (SGX). The study uses daily closing prices of the Nifty index and the Nifty futures contract traded on both the exchanges for the period July 15, 2010 to July 15, 2016.  The study finds a causality running from the returns of the spot market to the returns from the Nifty futures market in both the exchanges, NSE and SGX, with the help of Vector Error Correction model and Granger causality test. Variance Decomposition and Impulse Response Analysis also confirm that the spot market is the leading market in price discovery, making it the most efficient amongst others.                                                                                                        

Article Details

Issue
Vol. 10 No. 2 (2016)
Section
Articles
Author Biography

Kiran Kumar Kotha, Indian Institute of Management Indore, INDIA

Associate Professor, Finance & Accounting Area.Obtained PhD from Indian Institute of Science

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