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首页> 外文期刊>Applied Economics >The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market's returns: the case of India
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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market's returns: the case of India

机译：波动，价格发现和效率之间的联系，持久性，不对称性，以及美国次贷金融危机对现货和期货市场回报的影响：印度为例

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This article examines the effects of persistence, asymmetry and the US subprime mortgage crisis on the volatility of the returns and also the price discovery, efficiency and the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger's causality. We have used two indices: one for spot and the other for futures, for the daily data from 12 June 2000 to 30 September 2013 from Nifty stock indices. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The GARCH(1,1) model is found to be significant, and it implies that the returns are not autocorrelated and have 'short memory'. It supports the hypothesis of the efficiency of the markets. The negative 'news' has more significant effect on volatility, corroborating the 'leverage impact' in finance on market volatility. We have also tested the volatility spillover effects. The two methods we employed support the spillover effects and the causality is bidirectional. We also have used the dummy variable for the US subprime mortgage financial crisis and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets.
机译：本文通过使用各种类型的ARCH和GARCH模型，研究了持续性，不对称性和美国次贷危机对收益率波动以及价格发现，效率以及现货和期货波动率之间的联系和因果关系的影响，并通过格兰杰的因果关系。我们使用了两个指数：一个用于现货，另一个用于期货，用于2000年6月12日至2013年9月30日的Nifty股票指数。然后，我们测试了ARCH效应，随后采用了ARCH和GARCH条件波动率的各种模型。发现GARCH（1,1）模型很重要，这意味着返回值不是自相关的，并且具有“短内存”。它支持市场效率的假设。负面的“新闻”对波动性具有更大的影响，证实了金融对市场波动性的“杠杆影响”。我们还测试了波动溢出效应。我们采用的两种方法都支持溢出效应，因果关系是双向的。我们还将虚拟变量用于美国次级抵押贷款金融危机，发现它们具有统计意义。印度股票市场因此融入了世界股票市场。

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