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Price Lead-Lags in Indian Stock and Futures Market - A Wavelet Based Study

Author : Irfan Ul Haq

Publisher :

Page : 15 pages

File Size : 28,63 MB

Release : 2013

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ISBN :

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Book Description

This paper examines the relationship between the stock and futures markets in terms of cointegration (Johnson Cointegration) and lead lag relationship (Wavelet Approach). We applied the Maximum Overlap Discrete Wavelet Transform (MODWT) method to stock and futures prices of 12 near month contracts during the period April 2011 and March 2012. The study included 13 Scripts across sectors which are included both in BSE Sensex and Nifty 50. Empirical results show that stock and futures are cointegrated in the long run and there is either feedback relationship or futures lead across time scales and also we have seen in some scripts there is no lead lag neither contemporaneously nor in different time scales.



Lead - Lag Relationship in Indian Stock Market

Author : Bhaskkar Sinha

Publisher :

Page : 21 pages

File Size : 15,80 MB

Release : 2019

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ISBN :

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Book Description

This paper studies the lead lag relationship between the spot and future market in the context of introduction of Nifty futures at the National Stock Exchange (NSE) in June 2000. Co-integration and linear regression techniques are used to determine the existence of any such relation in the two markets during 1st April 2002 and 31st March 2005. The major findings from this endeavor are that the Nifty Futures market leads the nifty index cash market, a lead - lag relation can be traced for all the years under study individually, the relationship among the Nifty index futures and cash market has differed considerably during the mentioned time period. On the basis of this analysis we can say that the two markets are now becoming more efficient and we see a much faster flow of information between the two markets. Further the study tries to portray a picture for the individual stock in the Samp;amp;P CNX Nifty. This paper indicates that the two markets are highly efficient and in some cases any shock in the market is simultaneously absorbed in both the markets, suggesting an absence of any lead - lag relationship in both the markets under consideration.



Relationship Between Spot and Futures Prices

Author : Rajni Kant Rajhans

Publisher :

Page : 8 pages

File Size : 46,35 MB

Release : 2015

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ISBN :

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Book Description

In developed financial markets, there is no dearth of literature on relationship between spot and future market. India, in the year 2000 introduced derivative market to provide risk mitigation mechanism to market participants. The present study concluded that there is no short-run relationship between Nifty 50 Index and Nifty 50 Futures Index while there is a long-run relationship between the two. The combined analysis of outputs of Granger Causality and Johansen co-integration provided a more rational justification and can be interpreted that possibly at a time of high volatile market when price discovery is not more on rational basis but rather on other spill-over, a short-run lead-lag relationship could not be observed between spot stock index and futures index. However, in long-run the volatility dies away and market returns back to fundamental factors and hence, there is evidence of long-run relationship between spot stock index and futures index.



A Study on the Pricing Efficiency of Selected Single Stock Midcap Futures and Spot Market Prices in India

Author : R. Iyer Harihara Sudhan

Publisher :

Page : 9 pages

File Size : 15,2 MB

Release : 2015

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Book Description

The Objective of this paper is to examine the Lead lag Relationship between Midcap Spot and Futures prices with reference to the Midcap stocks traded in National stock exchange. The Purpose of the study is to ascertain the Price discovery function, which market sources the information rapidly. A sample of 5 stocks is chosen from the Midcap Nifty to conduct the analysis. Cross Correlation, Vector Auto Regression and Granger Causality test were deployed to identify the Short term and Long term relationship between the variables. The Analysis was conducted on the data obtained from NSE website from their inception to 31st December 2013. The study results confirm the existence of Lead of Futures in few stocks but lags in most of the stocks and it also indicates dimensions for future research.



Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets

Author : Ersan Ersoy

Publisher :

Page : 18 pages

File Size : 14,41 MB

Release : 2016

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ISBN :

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Book Description

In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.



The Illustrated Wavelet Transform Handbook

Author : Paul S. Addison

Publisher : CRC Press

Page : 587 pages

File Size : 33,85 MB

Release : 2017-01-06

Category : Mathematics

ISBN : 1315355280

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Book Description

This second edition of The Illustrated Wavelet Transform Handbook: Introductory Theory and Applications in Science, Engineering, Medicine and Finance has been fully updated and revised to reflect recent developments in the theory and practical applications of wavelet transform methods. The book is designed specifically for the applied reader in science, engineering, medicine and finance. Newcomers to the subject will find an accessible and clear account of the theory of continuous and discrete wavelet transforms, while readers already acquainted with wavelets can use the book to broaden their perspective. One of the many strengths of the book is its use of several hundred illustrations, some in colour, to convey key concepts and their varied practical uses. Chapters exploring these practical applications highlight both the similarities and differences in wavelet transform methods across different disciplines and also provide a comprehensive list of over 1000 references that will serve as a valuable resource for further study. Paul Addison is a Technical Fellow with Medtronic, a global medical technology company. Previously, he was co-founder and CEO of start-up company, CardioDigital Ltd (and later co-founded its US subsidiary, CardioDigital Inc) - a company concerned with the development of novel wavelet-based methods for biosignal analysis. He has a master’s degree in engineering and a PhD in fluid mechanics, both from the University of Glasgow, Scotland (founded 1451). His former academic life as a tenured professor of fluids engineering included the output of a large number of technical papers, covering many aspects of engineering and bioengineering, and two textbooks: Fractals and Chaos: An Illustrated Course and the first edition of The Illustrated Wavelet Transform Handbook. At the time of publication, the author has over 100 issued US patents concerning a wide range of medical device technologies, many of these concerning the wavelet transform analysis of biosignals. He is both a Chartered Engineer and Chartered Physicist.



An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

Author : Ramazan Gençay

Publisher : Elsevier

Page : 383 pages

File Size : 30,72 MB

Release : 2001-10-12

Category : Business & Economics

ISBN : 0080509223

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Book Description

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods



Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong

Publisher : Mdpi AG

Page : 232 pages

File Size : 27,72 MB

Release : 2022-02-17

Category : Business & Economics

ISBN : 9783036530802

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Book Description

The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.



Wavelet Methods for Time Series Analysis

Author : Donald B. Percival

Publisher : Cambridge University Press

Page : 628 pages

File Size : 39,9 MB

Release : 2006-02-27

Category : Mathematics

ISBN : 1107717396

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Book Description

This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.



Handbook of Research on Strategic Management for Current Energy Investments

Author : Yüksel, Serhat

Publisher : IGI Global

Page : 422 pages

File Size : 46,91 MB

Release : 2021-06-11

Category : Technology & Engineering

ISBN : 179988337X

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Book Description

Energy has a wide range of uses within a country, includin socially and economically. Providing everything from warmth and light to raw materials for industrial production, energy is an essential need for countries. Due to the importance of energy for countries, energy policies are extremely vital, and energy needs to be affordable, eco-friendly, and continuous so countries can provide for their people and continue to develop industrially. Without the availability of energy that is cheap and continuous, the effectiveness in the energy supply process will be reduced, and society will experience difficulties in having its daily energy needs met. The Handbook of Research on Strategic Management for Current Energy Investments analyzes current trends in energy production and use and identifies energy investment strategies in order to support affordable and available energy for all. Chapters within the book cover technological developments that contribute to the reduction of price in energy production as well as renewable energy sources that provide continuity in energy production but do not emit carbon into the atmosphere. This book highlights topics that cover environmental pollution, energy pricing, economic growth, carbon dioxide emission, and energy management. It is ideal for engineers, technicians, managers, researchers, academicians, policymakers, government officials, and students in related fields.