Title: The lead-lag relationship between futures and options market: a study on the financial services sector of NSE Nifty

Authors: Vaishali Jain; Dhiraj Jain

Addresses: Symbiosis Institute of Management Studies, Symbiosis International (Deemed University), India ' Symbiosis Center of Management Studies, Symbiosis International (Deemed University), India

Abstract: The present study is aimed at investigating the lead-lag relation between the futures and options contracts traded in NSE with reference to the financial services sector. The study uses 15-minute interval prices for the near month futures and options contracts to examine this relationship. The authors have used unit root tests, cointegration test, VECM and the Granger causality test in order to establish the contemporaneous relationship between futures and options markets in India. The inferences from this study will prove to be helpful for the investors because there are very few papers that have attempted investigating the lead-lag relation in the Indian stock market represented by National Stock Exchange. Apart from this, the present study is different and better than the previous studies regarding the methodology and scope. Therefore, in view of the improvements, it may also contribute to the literature and help investors take better positions in the market.

Keywords: price discovery; cointegration; VECM; Granger causality.

DOI: 10.1504/IJPSPM.2019.101072

International Journal of Public Sector Performance Management, 2019 Vol.5 No.3/4, pp.461 - 480

Received: 19 Feb 2018
Accepted: 28 Sep 2018
Published online: 23 Jul 2019 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article