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Spot market and derivative segment of equity in India

Author

Listed:
  • Dheeraj Sharma
  • Shweta Ahalawat
  • Archana Patro
  • Patanjal Kumar

Abstract

The foremost objective of the manuscript is to predict the volatility and causality between spot and derivative segment of equity in India and also to determine long run relationship between the two. Monthly time-series data of 15 years have been taken, from 2003 to 2019 (pre- and post-financial crisis 2008). The unit root test, GARCH model, Granger Causality test under VECM framework have been smeared to infer the volatility and causality between the spot Nifty and Nifty futures. Johansen co-integration test and VECM have been used to determine the long and short run relationship between the two time series. Regression has been applied to determine the impact of spot market on Stock Futures. The outcomes depict that the two variables have positive impact and statistically significant in the short and long run. There exist fluctuations, volatility and lead lag relationship between the two which will help investors and policymakers to take well-formed decisions.

Suggested Citation

  • Dheeraj Sharma & Shweta Ahalawat & Archana Patro & Patanjal Kumar, 2022. "Spot market and derivative segment of equity in India," Applied Economics, Taylor & Francis Journals, vol. 54(3), pages 326-339, January.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:3:p:326-339
    DOI: 10.1080/00036846.2021.1962509
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