Thursday, 20 Jun, 2024




Lead Lag Relationship between Futures and Spot Prices in Select Nifty Companies

International Journal of Financial Management

Volume 7 Issue 2 & 3

Published: 2017
Author(s) Name: Rajani Balakrishna Bhat, Suresh V. N. | Author(s) Affiliation: Asst. Prof., P.G. & Research Dept. of Commerce, The Cochin College, Kochi, Kerala, India.
Locked Subscribed Available for All


The equity derivatives market in India has undergone remarkable changes in terms of instruments introduced. Introduction of single stock futures, amidst great misgivings, was solely responsible for placing Indian exchanges in the topmost position in the global scenario. Till 2006-07, single stock futures were the most traded instruments in the Indian equity derivative segment. But, post-Global Financial Crisis, there has been a continuous drift in favour of index options from single stock futures. There has been a continuous decline in the share of single stock futures, the gain being that of index options. This is considered as a clear indication towards mature stock market. Even though the inception of derivative trading has significantly influenced the trading volatility in the capital market segment, it is yet to be seen whether the introduction of derivatives has achieved its purpose or not. The present study is an attempt to study the impact of volatility on the stock market after the introduction of derivatives in Indian segment. The study takes into account a period of thirteen years, from 9th November 2001 to 31st March 2014. A bunch of Nifty companies which satisfy the set criteria are selected for the study. The study reveals that there exists causality between the futures and spot prices of these companies. These companies are found to be co-integrated in the long run as well as in the short run.

Keywords: Derivatives Market, Futures Prices, Index Futures, Indian Stock Market, Informational Efficiency, Market Efficiency, Price Discovery, Single Stock Futures, Spot Prices

View PDF

Refund policy | Privacy policy | Copyright Information | Contact Us | Feedback ©, All rights reserved