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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Bibliographic Details
Main Authors: Mohammed Arshad Khan, Md. Mobashshir Hussain, Asif Pervez, Mohd Atif, Rohit Bansal, Hamad A. Alhumoudi
Format: Article
Language:English
Published: Wiley 2022-01-01
Series:Journal of Mathematics
Online Access:http://dx.doi.org/10.1155/2022/2164974
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