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This repository provides metadata of IIMB Publications and aimed at creating and preserving an archive of Institution scholarship. IIMB Publications include Articles, Working Papers (FULL TEXT), Book Chapters published by Faculty, Doctoral Dissertations by FPM Scholars and Project reports of Students enrolled in various courses of IIMB.
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https://repository.iimb.ac.in/handle/123456789/10488| Title: | Study of Lead-Lag relationship between the Spot and the Futures Market for Nifty Stock Index in India | Authors: | Majila, Rajib Biswas, Sankha Narayan |
Keywords: | Marketing management;Stock exchange | Issue Date: | 2007 | Publisher: | Indian Institute of Management Bangalore | Series/Report no.: | PGSEM-PR-P7-62 | Abstract: | This project aims to investigate the possible lead-lag relationship in terms of return and volatility, among the Spot and Futures markets in India. The study uses Nifty data from NSE. The purpose is to see if any lead-lag relationship exists between Nifty Stock Index and Nifty Future sprices using statistical models like VAR, VEC and GARCH. The report concludes that Nifty Future leads Nifty Stock Index. | URI: | http://repository.iimb.ac.in/handle/123456789/10488 |
| Appears in Collections: | 2007 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| PR_PGSM_P7_62.pdf | 1.65 MB | Adobe PDF | View/Open Request a copy |
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