This paper is published in Volume-3, Issue-3, 2017
Area
Finance
Author
Dr. Saroj Kanta Biswal, Saktikanta Barik
Org/Univ
Faculty of Management Sciences Siksha ‘O’ Anusandhan University Bhubaneswar, India
Keywords
Lead-Lag Relationship, Jarque-Bera Test, Co-Integration Analysis, Augmented Dickey-Fuller Test and Ganger Causality Test.
Citations
IEEE
Dr. Saroj Kanta Biswal, Saktikanta Barik. Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India, International Journal of Advance Research, Ideas and Innovations in Technology, www.IJARIIT.com.
APA
Dr. Saroj Kanta Biswal, Saktikanta Barik (2017). Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India. International Journal of Advance Research, Ideas and Innovations in Technology, 3(3) www.IJARIIT.com.
MLA
Dr. Saroj Kanta Biswal, Saktikanta Barik. "Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India." International Journal of Advance Research, Ideas and Innovations in Technology 3.3 (2017). www.IJARIIT.com.
Dr. Saroj Kanta Biswal, Saktikanta Barik. Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India, International Journal of Advance Research, Ideas and Innovations in Technology, www.IJARIIT.com.
APA
Dr. Saroj Kanta Biswal, Saktikanta Barik (2017). Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India. International Journal of Advance Research, Ideas and Innovations in Technology, 3(3) www.IJARIIT.com.
MLA
Dr. Saroj Kanta Biswal, Saktikanta Barik. "Interdependence & Integration between Futures and Spot Market: Empirical Evidence in India." International Journal of Advance Research, Ideas and Innovations in Technology 3.3 (2017). www.IJARIIT.com.
Abstract
The objective of this paper is to study the co-integration technique is used to determine the existence of any such relation in the two markets during 20th Nov, 2009 and 31st Dec, 2014. The major findings of this study that Futures prices tend to influence spot prices or; spot prices tend to lead futures prices. Nifty Futures market leads the Nifty index cash market; a lead-lag relation can be traced during the mentioned time period. This paper indicates that the two markets have bidirectional causal relationship between spot and futures prices.
