Mutual relationship between NIFTY stock index future and spot markets

Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010

Volumn , Issue , 2010, Pages 437-441

  Zhang, Xiaofeng ^a   Lv, Ling ^a  

^a CHANGSHA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Price discovery; Spot market; Stock index future; Volatility

Indexed keywords

COINTEGRATION TEST; GRANGER CAUSALITY TEST; INDEX FUTURES; PRICE DISCOVERY; SPOT MARKET; STOCK INDEX FUTURES; VOLATILITY;

COSTS;

COMMERCE;

EID: 78650083285     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/BIFE.2010.106     Document Type: Conference Paper

References (5)

1. S.S. Ba, "Inner Logic of China's Development of Stock Index Futures after the Financial Crisis", Economy, 2009.12, pp. 22-23.
2. X.A. Qian, Z.Y.Deng, and J.T.Yang, Financial Futures and Options Daquan. BJ :China Finance Press, 1996.
3. Lee,S.B., and Ohk,K.Y., "Stock Index Futures Listing and Structural Change in Time-varying Volatility", Journal of Futures Markets, vol.12, no.5, October, 1992, pp.493-509.
4. Z.B.Liu, "India Improves the Internal Stability Mechanism of Stock Market by Stock Index Futures", Shanghai Securities Daily, no.20, October, 2009, pp.A11.
5. Z.Q.Yong, "Stock Index Future or Stock spot market: Which is the Price Leader?", Equity Index Futures Research, September, 2006, pp.2-9.