Volume : 2, Issue : 12, December - 2013

Lead Lag Relationship between Futures and Spot Market: Empirical Evidence from Bank Nifty

Ekta

Abstract :

By using intraday data from 13th June to 30th September 2013, an attempt has been made to investigate the possible lead–lag relationship among the Bank Nifty spot index and Bank Nifty futures index traded in India. Our results suggests that there is a unidirectional relationship among the price series of bank nifty index in the spot and futures market, the spot market has been found to play comparatively stronger leading role in disseminating information available to the market, and therefore said to be more efficient.