Determinants of Futures Market in India

XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM)

11 Pages Posted: 2 May 2013  

Babu Jose

St. Thomas College - Department of Commerce

Daniel Lazar

Pondicherry University - School of Management

K. Chandrasekhara Rao

Pondicherry University

Date Written: December 21, 2012

Abstract

In India, spot market return, number of contract, turnover and volatility of the futures market are having short run relationship with futures market return. On the basis of the empirical analysis it is clearly found that spot market is the key factor which predicts the movement of futures market and the trader can depend upon volatility and trading volume to take any decision on futures market trading. In precise, spot market return, volatility of the futures market, turnover and number of contract are the determinants of futures market in India. Spot market return is the major determinants of futures market, indeed variables from futures market itself like open interest and turnover of futures market can be taken in to consideration for determining the futures market return. The empirical study is made with spot return, futures return, volatility of futures return, number of contract, trading volume and open interest of S&P CNX Nifty and its underlying index Nifty-50 for the period 12th June 2000- 30th June 2011 by applying the VAR Granger Causality/Block Exogenity Test.

Suggested Citation

Jose, Babu and Lazar, Daniel and Rao, K. Chandrasekhara, Determinants of Futures Market in India (December 21, 2012). XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM) . Available at SSRN: https://ssrn.com/abstract=2255468 or http://dx.doi.org/10.2139/ssrn.2255468

Babu Jose (Contact Author)

St. Thomas College - Department of Commerce ( email )

Pala, Kerala
India

Daniel Lazar

Pondicherry University - School of Management ( email )

Pondicherry, 605 014
India
+91-413-2654369 (Phone)

HOME PAGE: http://www.lazar.in

K. Chandrasekhara Rao

Pondicherry University ( email )

Mahe Centre, Cemetery Road
Pondicherry, Puducherry UT 605 014
India

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