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Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index

Author

Listed:
  • C. Kailash P.

    (National Institute of Labour Economic Research & Development (NILERD))

  • К. Прадхам Ч.

    (Национальный Научно-исследовательски Институт Экономики Труда)

Abstract

This paper is examined the price discovery and causality between spot and futures markets. Then, it forecasts spot prices using in NIFTY futures markets. Vector Error Correction Model (VECM), Impulse Response Function analysis and Variance Decomposition analysis are used to examine the price discovery process between spot and futures prices. This paper compares the forecast ability of futures prices on spot prices using Auto Regressive Integrated Moving Average (ARIMA) and VEC model. The results find that there exists a bi-directional causality between Nifty spot and futures markets and the spot markets disseminate new information stronger than futures prices. The forecast performance of VEC model is better than ARIMA model on post-sample periods. Because, VEC model incorporates the importance of taking into account the long-run relationship between the futures and the spot prices in forecasting future spot prices. В работе рассмотрены детерминация цен и причинно-следственные связи между спотовыми и фьючерсными рынками. На этой основе спрогнозированы спотовые цены, используемые на фьючерсных рынках NIFTY. С целью проверки процесса детерминации цен на спотовых и фьючерсных рынках использованы Vector Error Correction Model (VECM - Векторная модель коррекции ошибок), анализ Impulse Response Function (Импульсная переходная функция) и анализ Variance Decomposition (декомпозиция дисперсии). Проверена также прогностическая способность двух моделей Auto Regressive Integrated Moving Average (Интегрированная модель авторегрессии - скользящего среднего) и VECM для оценки связи в детерминации спотовых и фьючерсных цен. В результате автор отметил взаимную (прямую и обратную) связь между спотовыми и фьючерсными ценами на рынках NIFTY.

Suggested Citation

  • C. Kailash P. & К. Прадхам Ч., 2017. "Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 32-41.
    • Handle: RePEc:scn:00rbes:y:2017:i:1:p:32-41
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    References listed on IDEAS

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