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2008•Journal of Nanchang Hangkong UniversityRequires access

Research into Price Discovery Function of Stock Index Futures

Liu Xing-wan

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Abstract

VECM model and Granger causality test are used to verify the price discovery process between India Nifty50 share index futures and spot, and it is considered that the spot is dominated in price discovery, so we can draw a conclusion that the share index futures is lack of price discovery function in India which is one of new booming market countries.

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What this paper is about

VECM model and Granger causality test are used to verify the price discovery process between India Nifty50 share index futures and spot, and it is considered that the spot is dominated in price discovery, so we can draw a conclusion that the share index futures is lack of price discovery function in India which is one of new booming market countries.

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Available abstract

VECM model and Granger causality test are used to verify the price discovery process between India Nifty50 share index futures and spot, and it is considered that the spot is dominated in price discovery, so we can draw a conclusion that the share index futures is lack of price discovery function in India which is one of new booming market countries.

Key concepts: Price discovery, Futures contract, Stock index futures, Granger causality, Financial economics, Index (typography), Econometrics, Economics

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