...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International Journal of Managerial Finance >Lead-lag relationship between futures and spot FX market in India
【24h】

Lead-lag relationship between futures and spot FX market in India

机译：印度期货与现货外汇市场之间的超前-滞后关系

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Purpose: The purpose of this paper is to study the lead-lag relationship between the futures and spot foreign exchange (FX) market in India to understand the price discovery mechanism and the relationship between these two markets. Design/methodology/approach: The estimation of lead-lag relationship is realized in three steps. First unit root and stationarity tests (Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin) are applied to check the stationarity of the data. Second, cointegration tests (Engle and Granger’s residual based approach and Johansen’s cointegration test) are applied to determine long run relationship between the markets. Third, error correction estimation is carried out by applying Vector Error Correction Model (VECM) to determine the leading market. Findings: The study finds that there is a long run relationship between the futures and spot market where the futures market has emerged as the leading market for the four currencies studied in the paper. Originality/value: Majorly, the studies on Indian FX market limit themselves to identifying the efficiency of the market and the studies which talk about the lead-lag relationship focus on the Indian stock market. This paper enhances the existing literature on Indian FX market by exploring the less explored subject of the lead-lag relationship between futures and spot FX market in India.
机译：目的：本文的目的是研究印度期货与现货外汇（FX）市场之间的超前-滞后关系，以了解价格发现机制以及这两个市场之间的关系。设计/方法/方法：超前-滞后关系的估算分三个步骤实现。首先进行单位根和平稳性测试（增强的Dickey-Fuller，Phillips-Perron和Kwiatkowski-Phillips-Schmidt-Shin）以检查数据的平稳性。其次，应用协整检验（Engle和Granger基于残差的方法以及Johansen的协整检验）来确定市场之间的长期关系。第三，通过应用矢量纠错模型（VECM）来确定领先市场，从而进行纠错估计。结果：研究发现，期货和现货市场之间存在长期的关系，在该市场中，期货市场已成为本文研究的四种货币的主导市场。独创性/价值：主要是，印度外汇市场研究仅限于确定市场效率，而有关超前-滞后关系的研究则集中在印度股票市场。本文通过探讨印度期货与现货外汇市场之间的超前-滞后关系的主题，对现有的印度外汇市场文献进行了改进。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号