Information Transmission Between NSE50 Spot and Derivative Platforms in India: An Empirical Study |
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Authors: | Sehgal Sanjay Pandey Piyush Deisting Florent |
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Institution: | 1.Department of Financial Studies, University of Delhi, New Delhi, 110 021, India ;2.Groupe ESC Pau-France, rue Saint-John Perse, BP 7512, 64075, Pau, France ; |
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Abstract: | In this study, we examine the information transmission process between spot, futures and options segments for the NIFTY 50 index. The data is used from 2003 to 2013. Empirical results show that the spot market leads the price discovery process followed by the futures market and then the options market. The spot market again leads in the volatility spillover process while options dominate the futures contracts. There is a univariate skewness spillover from spot as well as futures to the options platform. Further, long term bidirectional kurtosis spillover is observed between spot and futures with former playing a more dominant role. |
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