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Efficiency and unbiasedness in the Indian stock index futures market

journal contribution
posted on 01.01.2010, 00:00 authored by Prasad BhattacharyaPrasad Bhattacharya, Harminder SinghHarminder Singh
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.

History

Journal

Review of futures markets

Volume

18

Issue

3

Pagination

239 - 263

Publisher

Institute for Financial Markets

Location

Washington, DC

ISSN

1933-7116

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2010, Institute for Financial Matters

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