Abstract
In India, spot market return, number of contract, turnover and volatility of the futures market are having short run relationship with futures market return. It is found that spot market is the key factor which predicts the movement of futures market and the trader can depend upon volatility and trading volume to take any decision on futures market trading. In precise, spot market return, volatility of the futures market, turnover and number of contract are the determinants of futures market in India. Spot market return is the major determinants of futures market, indeed variables from futures market itself like open interest and turnover of futures market can be taken in to consideration for determining the futures market return. The empirical study is made with spot return, futures return, volatility of futures return, number of contract, trading volume and open interest of S&P CNX Nifty and its underlying index Nifty-50 for the period 12th June 2000-30th June 2011by applying the VAR Granger Causality/Block Exogenity Test.
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More From: Asian Journal of Research in Business Economics and Management
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