Efficiency and unbiasedness in the Indian stock index futures market
Data(s) |
01/01/2010
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Resumo |
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. <br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Institute for Financial Markets |
Relação |
http://dro.deakin.edu.au/eserv/DU:30029864/bhattacharya-efficiencyand-2010.pdf http://dro.deakin.edu.au/eserv/DU:30029864/bhattacharya-efficiencyand-evid-2010.pdf http://www.rfmjournal.com/vol18_3_2.html |
Direitos |
2010, Institute for Financial Matters |
Palavras-Chave | #efficient market hypothesis #futures market #error correction #Markov switching |
Tipo |
Journal Article |