Repercussions of global turbulence and market volatility in spot & futures market: India preparedness
- Title
- Repercussions of global turbulence and market volatility in spot & futures market: India preparedness
- Creator
- Thamilselvan R.; Srinivasan K.
- Description
- This article examines the repercussions of global turbulence and market volatility in Indian Capital market for the period spanning from January 1, 2003 to August 31, 2013 with a total of 2654 observations and it is broken into pre-crisis and post-crisis respectively. The study employed Generalized Autoregressive Conditional Heteroskedasticity (1,1) model to measure the volatility persistence by employing dummy variables. Cointegrating Regression Augmented Dickey Fuller (CRADF) and Vector Error Correction Model (VECM) was employed to investigate the casual nexus between spot and futures market in both short and long run equilibrium. The squared residuals of VECM were applied to investigate the lead-lag relationship between the bivariate variables. Our findings indicate that there was a significant change in the post crisis period for spot and futures market volatility. Our result suggests that nothing can be learned and new regulation can only do more harm. Apart from this, nobody knows which financial instrument will be at the centre of the next crisis. Overall, the comprehensive financial sector reform like Credit Default Swap, Valuation Assumptions and Basel II Accord can create more problems and make the investors more complex to meet the global challenges environment. IJER Serials Publications.
- Source
- International Journal of Economic Research, Vol-11, No. 3, pp. 663-676.
- Date
- 2014-01-01
- Publisher
- Serials Publications
- Subject
- CRADF; Emerging market; Garch; Price discovery; VECM; Volatility
- Coverage
- Thamilselvan R., Department of Business Administration, Sathyabama University, Chennai, 600 101, India; Srinivasan K., Faculty of Management Studies, Christ University, Bangalore, Karnataka, 560 02, India
- Rights
- Restricted Access
- Relation
- ISSN: 9729380
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Thamilselvan R.; Srinivasan K., “Repercussions of global turbulence and market volatility in spot & futures market: India preparedness,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/17284.