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Efficiency and unbiasedness in the Indian stock index futures market
journal contribution
posted on 2010-01-01, 00:00 authored by Prasad BhattacharyaPrasad Bhattacharya, Harminder SinghHarminder SinghThis paper explores potential efficiency and unbiasedness as well as the degree of efficiency in stock index futures of an emerging market using both monthly and daily data. Besides analyzing efficiency and unbiasedness with cointegration and error correction model, the degree of efficiency is further investigated after explicitly modeling the underlying state of the market (expansion or contraction) through the first-order Markov switching set-up. The results show that a relatively longer two-month horizon is more effective in eliminating arbitrage opportunities than the short run (one-month and daily) futures.
History
Journal
Review of futures marketsVolume
18Issue
3Pagination
239 - 263Publisher
Institute for Financial MarketsLocation
Washington, DCISSN
1933-7116Language
engPublication classification
C1 Refereed article in a scholarly journalCopyright notice
2010, Institute for Financial MattersUsage metrics
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