• Economics
  • Published 2010

Price Discovery in NSE Spot and Futures Markets of India: Evidence from selected IT Industries

@inproceedings{Srinivasan2010PriceDI,
  title={Price Discovery in NSE Spot and Futures Markets of India: Evidence from selected IT Industries},
  author={P. Srinivasan},
  year={2010}
}
Johansen's Cointegration technique followed by the Vector Error Correction Model (VECM) was employed to examine the lead-lag relationship between NSE spot and futures markets of selected eight IT sector stocks of India. The empirical analysis was conducted for the daily data series from 20th April, 2005 to 15th September, 2008. The analysis reveals the bidirectional relationship between spot and futures markets in case of five selected IT stocks. This is followed by spot leads to futures and… CONTINUE READING