ECTAP
 
HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact
 

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)

News

Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

Theoretical and Applied Economics
No. 4 / 2017 (613), Winter

Dynamic regime switching behaviour between cash and futures market: A case of interest rates in India

Pradiptarathi PANDA
National Institute of Securities Markets, Mumbai, India
Malabika DEO
Pondicherry University, India
Jyothi CHITTINE
University of Hyderabad, India

Abstract. This study examines the Markov dynamic regime switching behaviour between cash and futures market in respect to interest rate in India. The study uses daily data of volumes, weighted average price, weighted average yield for cash market and total values, open interest, settlement price from 21st January 2014 to 30th October 2014. We a contract i.e. 883GS2023 of NSE has been used for our analysis. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We have run regime switching regression to capture the switching behaviour in bull as well as bear state of cash to future and future to cash in six different equations. This model also captures the estimated probability and estimated duration to continue in bull and bear state and does not require to test stationarity or conversion of data into any normalised form. We find switching behaviour in both cash is regime switching the future as well as future is regime switching the cash market and the estimated probability differs from 70% to 97% in different cases. The estimated duration to continue in an existing state has also been captured in 6 different equations.

Keywords: Govt. Securities, Interest Rate Futures (IRF), Markov Dynamic Regime Switching Model.

Download the full article:  

Contents

Open acces

ECTAP

Search

BOOKS

The Economicity. The Epistemic Landscape, Marin Dinu, 2016

Partners


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail: economia.ta@edeconomica.com

© 2006-2017 AGER