Study of Lead-Lag relationship between the Spot and the Futures Market for Nifty Stock Index in India

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Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/123456789/10488

DC Field	Value	Language
dc.contributor.advisor	Basu, Sankarshan
dc.contributor.advisor	Bhattacharyya, Malay
dc.contributor.author	Majila, Rajib
dc.contributor.author	Biswas, Sankha Narayan
dc.date.accessioned	2017-09-28T07:30:09Z
dc.date.accessioned	2019-03-18T10:23:24Z	-
dc.date.available	2017-09-28T07:30:09Z
dc.date.available	2019-03-18T10:23:24Z	-
dc.date.issued	2007
dc.identifier.uri	http://repository.iimb.ac.in/handle/123456789/10488
dc.description.abstract	This project aims to investigate the possible lead-lag relationship in terms of return and volatility, among the Spot and Futures markets in India. The study uses Nifty data from NSE. The purpose is to see if any lead-lag relationship exists between Nifty Stock Index and Nifty Future sprices using statistical models like VAR, VEC and GARCH. The report concludes that Nifty Future leads Nifty Stock Index.
dc.language.iso	en_US
dc.publisher	Indian Institute of Management Bangalore
dc.relation.ispartofseries	PGSEM-PR-P7-62	-
dc.subject	Marketing management
dc.subject	Stock exchange
dc.title	Study of Lead-Lag relationship between the Spot and the Futures Market for Nifty Stock Index in India
dc.type	Project Report-PGSEM
dc.pages	48p.
Appears in Collections:	2007

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