1. IR@IIMC
  2. Artha
  3. 2024, Volume 12
  4. Issue 3, December 2024
Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/5015
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dc.contributor.authorYadav, Sachita
dc.contributor.authorChacko, Aswin George
dc.date.accessioned2025-02-20T04:52:47Z
dc.date.available2025-02-20T04:52:47Z
dc.date.issued2024-12
dc.identifier.urihttps://ir.iimcal.ac.in:8443/jspui/handle/123456789/5015
dc.descriptionBiosketch: Dr. Sachita Yadav is a Faculty of Finance and Accounts at the Arun Jaitley National Institute of Financial Management, an autonomous institute under the Ministry of Finance, Government of India. She holds a Ph.D. in Finance from the University of Rajasthan and has taught for 18 years at various universities in India. Dr. Yadav has chaired finance tracks and presented at national and international conferences, with her work published in refereed journals, book chapters, and proceedings. She has also served as a reviewer, session chair, and guest speaker. Her research focuses on financial derivatives, financial literacy, stock markets, climate change, GDP, urbanization, and other finance topics. Additionally, she developed a MOOC course on Financial Modeling and is a member of the Indian Accounting Association. | Mr. Aswin George Chacko holds a PGDM in Finance from AJNIFM and Senior Executive in Risk Management at MCXCCL. Mr. Aswin is a self-motivated, enthusiastic individual seeking to establish a career and expand knowledge in domains of finance. Coming with a strong ability to prioritize tasks and manage time efficiently; and ability to ensure confidentialityen_US
dc.description.abstractAim: The growth of the Indian stock market is significantly influenced by the derivatives market in India. This research study investigated the relationship between Bank Nifty Spot and futures prices through a thorough examination. Data and Statistical Tools: The secondary data was analyzed using statistical techniques such as Granger Causality, Correlation, Co-integration, and ECM. Result: The analysis's main conclusion was the correlation test's substantial positive result between Bank Nifty spot and futures prices. There is evidence of a long-term equilibrium link when Bank Nifty Spot and futures prices cointegrate. This result suggests that there are common factors influencing spot and futures pricing, and that these factors tend to converge over time. Implication: Understanding this relationship can help traders and investors make better trading and investing decisions by illuminating the long-term patterns of these prices. Overall, the findings of the Granger causality test suggest that the future market has a stronger influence on the spot market than the other way around.en_US
dc.language.isoen_USen_US
dc.publisherThe Financial Research and Trading Laboratory, IIM Calcuttaen_US
dc.relation.ispartofseriesVol.12;No.3
dc.subjectBank Nifty Spoten_US
dc.subjectBank Nifty Futures
dc.subjectCorrelation
dc.subjectCo-integration
dc.subjectGranger Causality
dc.subjectECM
dc.titleDeciphering the Interconnectedness of Spot and Future Prices in the Indian Derivatives Market with Special Emphasis on Bankniftyen_US
dc.typeArticleen_US
Appears in Collections:Issue 3, December 2024

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