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• W1566592487 abstract "Intraday lead-lag relationship, both in terms of return and volatility, among NIFTY spot and futures index and its variation around information release is studied. Even with a strong contemporaneous and bi-directional relationship among the markets, the spot market has been found to be stronger in disseminating information, and therefore said to be more efficient. There is also a symmetric volatility spillover among the spot and futures market. The results exhibit that though the leading role of the futures market wouldn't strengthen even for major market-wide information releases, it tends to weakens and sometime disappear after the release of important firm-specific announcements." @default.
• W1566592487 created "2016-06-24" @default.
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• W1566592487 date "2006-01-01" @default.
• W1566592487 modified "2023-10-16" @default.
• W1566592487 title "Lead-Lag Relationship and its Variation around Information Release: Empirical Evidence from Indian Cash and Futures Markets" @default.
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• W1566592487 doi "https://doi.org/10.2139/ssrn.931098" @default.
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