Are Financial Markets Co-Integrated During Economic Crisis: An Empirical Study on the Indian Capital Market?
Published: 2014
Author(s) Name: Atul Kumar |
Author(s) Affiliation: Associate Professor, Galgotias Business School, Greater Noida, Uttar Pradesh, India.
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Abstract
This paper examines whether the futures market and the spot market are co-integrated during the time of economic crisis. The study was done on the Nifty Spot index and Nifty Futures index for the period 1st August 2007 to 31st December 2008. The lead-lag relationship was analyzed by the ECM model. The result suggest that even at the time of economic crisis both the markets are co-integrated but no specific lead-lag relationship exists between the market. Granger causality test also gave similar evidences that there is no causal relationship between the Nifty spot index and Nifty futures index.
Keywords: Lead-Lag Relationship, Co-integration, ECM, Nifty Spot Index, Nifty Futures Index
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