Price Discovery,Causality and Forecasting in Indian Futures Market
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The issues of price discovery on spot and futures markets are topics of interest to traders, financial economists and analysts. Although spot and futures markets react to the same information, the major question is which market reacts first the spot or Futures .Theoretically speaking, when two markets for the same asset are faced with the same information arriving simultaneously, the two markets should react at the same time in a similar fashion. If the two markets do not react at the same time, one market will then lead the other. When such a lead-lag relation appears in case of price adjustm...
The issues of price discovery on spot and futures markets are topics of interest to traders, financial economists and analysts. Although spot and futures markets react to the same information, the major question is which market reacts first the spot or Futures .Theoretically speaking, when two markets for the same asset are faced with the same information arriving simultaneously, the two markets should react at the same time in a similar fashion. If the two markets do not react at the same time, one market will then lead the other. When such a lead-lag relation appears in case of price adjustments, the leading market is viewed as contributing a price discovery function for that sector. My research study is to analyze existence of prohibitive transactions costs or institutional barriers or incorrect trading strategies which could be impeding arbitrage between two markets and hindering efficient functioning of derivatives market. Understanding the behavior and price effects of futures and spot index trading in different world markets is of great significance to Brokerage houses, Investors and Portfolio Managers.
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