Interest Rate: Futures and Cash Market Spill-over’s in India

Authors

  • Hruda Ranjan Sahoo
  • Pradiptarathi Panda

DOI:

https://doi.org/10.33516/rb.v42i1.118-128p

Keywords:

Govt. Securities, Interest Rate Futures, NSE, CCIL.

Abstract

The present study analyses the spill-over's effect between the interest rate cash and futures market in India. We use daily data of volumes, weighted average price, weighted average yield to represent cash market and number of contracts traded, values, open interest, settlement price to represent futures market from 4th August 2014 to 31st December 2015 with 337(trading days) number of observations. We consider a single instrument (i.e. 08.40 GS 2024) which is most liquid, active and have contracts for a longer time period. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We first presents descriptive statistics followed by stationarity test, Correlation, Regression, Granger Causality test and ARMA (1, 1), GARCH (1, 1) spillover'smodel. The study finds cash market price is leading the futures market but the future settlement price has impact on the yield of the underlying security.

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Published

2016-04-01

How to Cite

Sahoo, H. R., & Panda, P. (2016). Interest Rate: Futures and Cash Market Spill-over’s in India. Research Bulletin, 42(1), 118–128. https://doi.org/10.33516/rb.v42i1.118-128p

Issue

Volume 42, Issue 1, April 2016

Section

Articles
Crossref
Scopus
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Europe PMC

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