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Resilience of Indian Equity Versus Derivatives Markets: An Analysis Using VaR Approach

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  • Tanupa Chakraborty

Abstract

This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during dotcom and subprime mortgage crises over 2000-10 period. The study finds that losses based on one-day VaR at 95% confidence interval have been greater in the futures market than in their respective underlying spot markets, thereby implying that Indian derivatives market displays less resilience than its equity market.

Suggested Citation

  • Tanupa Chakraborty, 2012. "Resilience of Indian Equity Versus Derivatives Markets: An Analysis Using VaR Approach," The IUP Journal of Applied Finance, IUP Publications, vol. 18(3), pages 95-108, July.
    • Handle: RePEc:icf:icfjaf:v:18:y:2012:i:3:p:95-108
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