Volume : V, Issue : V, May - 2015

Unbiasedness and Predictive Efficiency of Derivative Markets: Evidence from Indian Equity Future Markets

Rakesh Kumar

Abstract :

This research is based on 1982 observations on cash and future equity prices with one month horizon  spread over a period from January, 2006 to December, 2013. It seems from the discussions in this chapter that Indian future market bears equiliating long period relationship with the spot market. As both the series are  integrated of same order and cointegrating co–efficient is highly negative significant. However, relationship could not  satisfy the criteria of unbiasedness and efficiency (both in short period and long periods) irrespective of the models  used (Futures Price, ECM, ARIMA and GARCH–M). But the risk premium is not available in Indian stock market. So far  the predictive efficiency of the models used is concerned, future prices turned out to be most effective model and  ECM proved to be least useful

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Rakesh Kumar Unbiasedness and Predictive Efficiency of Derivative Markets: Evidence from Indian Equity Future Markets Indian Journal of Applied Research, Vol.5, Issue : 5 May 2015

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