Dynamic Linkages between Singapore and NSE listed NIFTY Futures and NIFTY Spot Markets

Kotha, Kiran Kumar; Bose, Shreya

doi:10.5750/jpm.v10i2.1253

Cited by 4 publications

(1 citation statement)

References 19 publications

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“…The authors conclude the onshore futures market dominates offshore SGX and spot markets in intraday volatility transmission and price discovery. Kotha and Bose (2017) examine linkages between offshore Indian Nifty futures traded in SGX and onshore futures traded in NSE and its spot Nifty index using daily closing prices from July 15, 2010 to July 15, 2016. They reveal that the spot market dominates in price discovery.…”

Section: Literature Reviewmentioning

confidence: 99%

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

Sundararajan

Balasubramanian

2022

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PurposeThis study examines the dynamic linkages between the Indian Nifty index futures traded on the offshore Singapore Exchange (SGX) and US stock indices (DJIA, NASDAQ and S&P 500) under the closure of the spot market for Nifty futures.Design/methodology/approachWith high-frequency 5-min overlapping price data, the authors employ the Johansen cointegration test to investigate long-run relationships, the Granger causality test to assess short-run dynamics and the BEKK-GARCH model for volatility spillover investigation.FindingsThe empirical findings reveal that the SGX Nifty futures market is cointegrated with the US DJIA market. The US DJIA stock index strongly influences the price discovery of SGX Nifty futures and past innovations in the US markets strongly impact the current volatility of SGX Nifty futures.Practical implicationsFindings from this study have significant implications for market participants, particularly foreign investors and portfolio managers. These findings might be helpful for market participants to improve the prediction power of expected SGX Nifty futures price and volatility, especially under the closure of the spot market. Also, SGX market participants can take the significant role of the US market into account when formulating hedging and trading strategies with Indian Nifty futures. Besides, our findings have significant implications for policymakers in evaluating market stability.Originality/valueThis article adds to the very limited research on offshore or international stock index futures; it is the first study that empirically examines the international linkages of offshore SGX Nifty futures under the closure of its underlying spot market and also the driving force behind the linkages.

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Section: Literature Reviewmentioning

confidence: 99%

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

Sundararajan

Balasubramanian

2022

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Analyzing Stock Market Linkages: Exploring Volatility Spillover Effects Between SGX and NSE Nifty Using ADCC GARCH Model

Shetty,

Rahiman,

Kodikal

et al. 2024

Studies in Systems, Decision and Control

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Intraday price discovery and volatility transmission between the dual-listed stock index futures and spot markets – new evidence from India

Sundararajan

Balasubramanian

2023

IJOEM

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PurposeThis study empirically explores the intraday price discovery mechanism and volatility transmission effect between the dual-listed Indian Nifty index futures traded simultaneously on the onshore Indian exchange, National Stock Exchange (NSE) and offshore Singapore Exchange (SGX) and its spot market by using high-frequency data.Design/methodology/approachThis study applies the vector error correction model to analyze the lead-lag relationship in price discovery among three markets. The contributions of individual markets in assimilating new information into prices are measured using various measures, Hasbrouck's (1995) information share, Lien and Shrestha's (2009) modified information share and Gonzalo and Granger's (1995) component share. Additionally, the Granger causality test is conducted to determine the causal relationship. Lastly, the BEKK-GARCH specification is employed to analyze the volatility transmission.FindingsThis study provides robust evidence that Nifty futures lead the spot in price discovery. The offshore SGX Nifty futures consistently ranked first in contributing to price discovery, followed by onshore NSE Nifty futures and finally by the spot. Empirical results also show unidirectional causality and volatility transmission from Nifty futures to spot, as well as bidirectional causal relationship and volatility spillovers between NSE and SGX Nifty futures. These novel findings provide fresh insights into the informational efficiency of the dual-listed Indian Nifty futures, which is distinct from previous literature.Practical implicationsThese findings can potentially help market participants, policymakers, stock exchanges and regulators.Originality/valueUnlike previous studies in this area, this is the first study that empirically examines the intraday price discovery mechanism and volatility spillover between the dual-listed futures markets and its spot market using 5-min overlapping price data and trivariate econometric models.

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Dynamic Linkages between Singapore and NSE listed NIFTY Futures and NIFTY Spot Markets

Cited by 4 publications

References 19 publications

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

Analyzing Stock Market Linkages: Exploring Volatility Spillover Effects Between SGX and NSE Nifty Using ADCC GARCH Model

Intraday price discovery and volatility transmission between the dual-listed stock index futures and spot markets – new evidence from India

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