INDIAN CURRENCY FUTURES MARKET ASTUDY OF DYNAMIC RELATIONSHIP AMONGPRICE VOLATILITY, TRADING VOLUME ANDMARKET DEPTH

This study investigates the factors such as Price’s volatility, market’s depth and trading’s volume for currency futures market in India. The data for this study have been taken from the NSE currency derivatives segment. We have used various analytical tools like unit root test for stationarity of data. To know the nature of relations in terms of the movement and speedy effects of the information drift among variables we have used Granger Causality, Co-integration (Johansen) and VECM-“Vector Error Correction Model”. Unit root test exhibited that variables are not stationary at the level but stationary at first difference. Granger Causality test indicated that volume and closing price of currency futures had the bidirectional causal relationship whereas Open Interest and the futures closing price had the unidirectional causal relationship and furthermore Open Interest and volume have no causal relationship. Johansen co-integration and VECM proved the short term as well as long term association between the variables.