Since 2014
Examining the Strength of Comovement of Prices in Futures and Cash Markets: Evidence from India
The International Journal of Financial Management
View Archive Info| Field | Value | |
| Title |
Examining the Strength of Comovement of Prices in Futures and Cash Markets: Evidence from India
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| Creator |
Gupta, Kapil; Assistant Professor, Punjab Institute of Technology, PTU-Main University Campus, Kapurthala, Punjab, India. Email: kapilfutures@gmail.com
Singh, Balwinder; Associate Professor, Guru Nank Dev University, Amritsar, Punjab, India. Email: bksaini@gmail.com |
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| Subject |
Cost of carry model, Mispricings,Mean reversion, Early unwinding of open positions and liquidity.
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| Description |
The present study examines the arbitrage efficiency of the Indian equity market by using the daily closing prices of near month futures contracts and cash market. Substantial and sustained wave like mispricings in two markets have been observed, which provides exploitable arbitrage opportunities to the traders. However, due to mark-to-market these mispricings do not persist over long period. Moreover, it has been observed that are positively correlated with the time-tomaturity of the futures contracts, which suggests that strong arbitrage base is present in the market. Mean reverting behaviour of mispricings also suggest that early liquidation option may be more profitable than holding the positions until the expiry date.
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| Publisher |
Publishing India Group
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| Date |
2015-07-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.myresearchjournals.com/index.php/IJFM/article/view/3086
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| Source |
International Journal of Financial Management; Vol 4, No 1 (2014)
2229-5682 |
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| Language |
eng
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| Relation |
http://www.myresearchjournals.com/index.php/IJFM/article/view/3086/3014
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| Rights |
Copyright (c) International Journal of Financial Management |
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