Efficiency and unbiasedness in the Indian stock index futures market

Bhattacharya, Prasad and Singh, Harminder 2010, Efficiency and unbiasedness in the Indian stock index futures market, Review of futures markets, vol. 18, no. 3, pp. 239-263.

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Title Efficiency and unbiasedness in the Indian stock index futures market
Author(s) Bhattacharya, PrasadORCID iD for Bhattacharya, Prasad orcid.org/0000-0003-2818-0835
Singh, HarminderORCID iD for Singh, Harminder orcid.org/0000-0003-2249-2387
Journal name Review of futures markets
Volume number 18
Issue number 3
Start page 239
End page 263
Total pages 24
Publisher Institute for Financial Markets
Place of publication Washington, DC
Publication date 2010
ISSN 1933-7116
Keyword(s) efficient market hypothesis
futures market
error correction
Markov switching
Summary This paper explores potential efficiency and unbiasedness as well as the degree of efficiency in stock index futures of an emerging market using both monthly and daily data. Besides analyzing efficiency and unbiasedness with cointegration and error correction model, the degree of efficiency is further investigated after explicitly modeling the underlying state of the market (expansion or contraction) through the first-order Markov switching set-up. The results show that a relatively longer two-month horizon is more effective in eliminating arbitrage opportunities than the short run (one-month and daily) futures.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2010
Copyright notice ©2010, Institute for Financial Matters
Persistent URL http://hdl.handle.net/10536/DRO/DU:30029864

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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