An empirical study on impact of spot prices on the futures prices of bank NIFTY NSE index

Abstract

Derivatives products have gained a significant place in the Indian context due to its core implications. This Paper is an endeavour to empirically study the causal interaction and the impact of Spot prices on the Futures prices of Bank Nifty NSE Index. The study holds the Futures Markets in three dimensions i.e. Near Month, Next Month and Far Month Futures Contracts. With the application of required Econometrics technique such as Co-integration Approach and Granger Causality Test, the results has shown that, there exist a Co-integrating long run association between all the three Contracts and Short run interaction between Next and Far Month Contracts. Further with the employment of OLS Model it has found that in all three Contracts Spot prices have an impact on the Futures Markets.