Interest Rate Futures and Market Structure in India

Authors

  • Sunder Ram Korivi
  • Elizabeth James

DOI:

https://doi.org/10.33516/rb.v42i1.129-137p

Keywords:

Interest Rate Futures, India Market Structure, Entropy.

Abstract

The 16-month period from January 2014 to April 2015 is analyzed in three distinct phases, on the basis of the underlying bonds. Entropy arises when views of market participants are unidirectional and also, cannibalized by contracts on other underlying bonds of the same tenor. In the developing phase, correlations between Total Contracts Traded and Open Interest are high, as well as between Value and Open Interest. However, an inflection point towards higher level is attained when more players with counter-views come in, coupled with an overall movement of interest rates towards the mean, representing the zone of uncertainty. This raises OI to higher levels, somewhat reducing the tightness in the correlations.

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Published

2016-04-01

How to Cite

Korivi, S. R., & James, E. (2016). Interest Rate Futures and Market Structure in India. Research Bulletin, 42(1), 129–137. https://doi.org/10.33516/rb.v42i1.129-137p

Issue

Volume 42, Issue 1, April 2016

Section

Articles
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Europe PMC

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