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PRICE DISCOVERY, CAUSALITY, CONDITIONAL VOLATILITY & FORECASTING IN INDIAN FUTURES MARKET: EVIDENCE FROM 2001 - 2011

JAYAKAR PAI, RAJESH (2012) PRICE DISCOVERY, CAUSALITY, CONDITIONAL VOLATILITY & FORECASTING IN INDIAN FUTURES MARKET: EVIDENCE FROM 2001 - 2011. Other thesis, Christ University.

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Abstract

This work investigates the price discovery, causality, conditional volatility and forecasting in S&P CNX Nifty spot Market returns and S&P CNX Nifty Future Market Returns. The overall data study is classified into In-sample and Out-sample observations and the research work has been carried out by using the daily data from 1st January 2001 to Dec 31st 2011. The Out-sample analysis is carried on from 1st Jan 2011 to 31st Dec 2011. The dataset for the above analysis was retrieved from www.nseindia.com. The research also refines down with long term and short term dynamics of prices between spot and futures market by using various forecasting models such as Root Mean Square Error, Mean Absolute Error, Theil?s Inequality U test etc for Out- sample observation. Apart from this, the In-sample analysis has been carried out by Market Model, Johansen Cointegration test, Granger Causality test, Vector Error Correlation Model and GARCH Model. The results of the above tests indicate futures become the base for building up the spot, the causality tests and response analysis function indicate that future prices tend to discover new information more rapidly than spot, and the hence this will indicate more accurate forecasts of spot prices but not the spot to future and this price discovery function of futures prices has strengthened of homogenous structure of Index over recent years and it is disseminated in price discovery and risk management functions Keywords: Price Discovery, NSE, Volatility, GARCH, Cointegration, VECM JEL Classification: C22, C32, F47, G11

Item Type:Thesis (Other)
Subjects:Thesis > MPhil > Management
ID Code:5969
Deposited By:Knowledge Center Christ University
Deposited On:30 Jan 2014 14:52
Last Modified:30 Jan 2014 14:52

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