Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19
The current study investigates the intraday dynamics of futures and spot markets in India. By analyzing one-minute data of Nifty 50 and the associated futures index, the study finds that both the markets are cointegrated. The results of the VECM reveal that any disequilibrium between the spot and fu...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/2164974 |
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| author | Mohammed Arshad Khan Md. Mobashshir Hussain Asif Pervez Mohd Atif Rohit Bansal Hamad A. Alhumoudi |
| author_facet | Mohammed Arshad Khan Md. Mobashshir Hussain Asif Pervez Mohd Atif Rohit Bansal Hamad A. Alhumoudi |
| author_sort | Mohammed Arshad Khan |
| collection | DOAJ |
| description | The current study investigates the intraday dynamics of futures and spot markets in India. By analyzing one-minute data of Nifty 50 and the associated futures index, the study finds that both the markets are cointegrated. The results of the VECM reveal that any disequilibrium between the spot and futures market is restored by the spot market. Granger causality tests reveal that the spot and futures markets have a bidirectional causal relationship. Common factor weights and Hasbrouck’s information share (IS) reveal the greater role of the futures market in price discovery. Gonzalo and Granger's common factor model indicates that the permanent factor is made up of futures series only. Using the BEK-GARCH model, we found two-way volatility spillovers between the spot and futures markets. The futures market is found to have a greater impact in terms of volatility spillovers also. The findings of our research are relevant to investors, money managers, traders, and policymakers. |
| format | Article |
| id | doaj-art-bae21c7d0f314b7e8bcf3488c09fb91f |
| institution | OA Journals |
| issn | 2314-4785 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-bae21c7d0f314b7e8bcf3488c09fb91f2025-08-20T02:18:42ZengWileyJournal of Mathematics2314-47852022-01-01202210.1155/2022/2164974Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19Mohammed Arshad Khan0Md. Mobashshir Hussain1Asif Pervez2Mohd Atif3Rohit Bansal4Hamad A. Alhumoudi5Department of AccountancyDepartment of Commerce and Business StudiesCentre for Distance and Online EducationDepartment of Commerce and Business StudiesDepartment of Management StudiesDepartment of AccountancyThe current study investigates the intraday dynamics of futures and spot markets in India. By analyzing one-minute data of Nifty 50 and the associated futures index, the study finds that both the markets are cointegrated. The results of the VECM reveal that any disequilibrium between the spot and futures market is restored by the spot market. Granger causality tests reveal that the spot and futures markets have a bidirectional causal relationship. Common factor weights and Hasbrouck’s information share (IS) reveal the greater role of the futures market in price discovery. Gonzalo and Granger's common factor model indicates that the permanent factor is made up of futures series only. Using the BEK-GARCH model, we found two-way volatility spillovers between the spot and futures markets. The futures market is found to have a greater impact in terms of volatility spillovers also. The findings of our research are relevant to investors, money managers, traders, and policymakers.http://dx.doi.org/10.1155/2022/2164974 |
| spellingShingle | Mohammed Arshad Khan Md. Mobashshir Hussain Asif Pervez Mohd Atif Rohit Bansal Hamad A. Alhumoudi Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 Journal of Mathematics |
| title | Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 |
| title_full | Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 |
| title_fullStr | Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 |
| title_full_unstemmed | Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 |
| title_short | Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 |
| title_sort | intraday price discovery between spot and futures markets of nifty 50 an empirical study during the times of covid 19 |
| url | http://dx.doi.org/10.1155/2022/2164974 |
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