Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID‐19

Khan, Mohammed Arshad; Hussain, Md. Mobashshir; Pervez, Asif; Atif, Mohd; Bansal, Rohit; Alhumoudi, Hamad A.

doi:10.1155/2022/2164974

Cited by 7 publications

(6 citation statements)

References 64 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The results of this study are in line with various studies that found futures markets often lead spot markets in price discovery 14,17,26 . This study uses monthly data of India's benchmark equity futures and spot prices over an extended time period from April 2005 to December 2022.…”

Section: Discussionsupporting

confidence: 91%

“…Hou et al (2019) observe a time-varying volatility spillover between fuel oil and stock index futures markets, while Zhou et al (2021) note bidirectional spillovers between stock index futures and spot prices influenced by news releases. Khan et al (2022)26 explore the intraday dynamics of India's Nifty 50 futures and spot markets, and they find two-way volatility spillovers with futures having a greater impact. They use the Baba, Engle, Kraft, and Kroner (BEKK) -Generalized Autoregressive Conditional Heteroskedasticity (GARCH) also known as BEK-GARCH model, Granger causality tests, common factor weights, and Hasbrouck's IS to support their findings Qin et al (2023).…”

mentioning

confidence: 99%

See 1 more Smart Citation

Price Discovery and Market Efficiency in India's Financial Futures Market within the Derivatives Landscape: An Empirical Analysis

Kumar

2023

JBT

View full text Add to dashboard Cite

This study offers a robust, long-term analysis of price discovery and the persisting lead-lag relationship between India’s equity futures and spot markets. Utilising monthly data from April 2005 to December 2022, it filters transient noise typically associated with high-frequency data. Information Share and Common Factor Weight methodologies within the Vector Error Correction (VEC) framework consistently reveal the dominance of futures markets in the price discovery process. The insights remain consistent across three distinct periods spanning the global financial crisis and the COVID-19 pandemic. The volatility dynamics and asymmetry effects in the Indian equity futures and spot markets using the Vector Error Correction - Exponential General Autoregressive Conditional Heteroskedastic (VEC-EGARCH) approach uncover notable asymmetry effects, signifying a strong market sensitivity to negative news. This highlights the necessity for comprehensive risk management strategies and stringent regulatory supervision, especially in light of the significant growth and systemic risks in the Indian derivatives market.

show abstract

Section: Discussionsupporting

confidence: 91%

mentioning

confidence: 99%

Price Discovery and Market Efficiency in India's Financial Futures Market within the Derivatives Landscape: An Empirical Analysis

Kumar

2023

JBT

View full text Add to dashboard Cite

show abstract

“…Technology adoption has been referred to as "a complex, inherently social, developmental process." The adoption process is not only influenced by external factors but cognitive, emotional and contextual aspects also influence the process [32]. The review of prior studies on technology adoption forms the basis of theoretical foundation and formulation of hypotheses for the present study.…”

Section: Literature Reviewmentioning

confidence: 99%

Consumer Adoption of Mobile Payment in the Kingdom of Saudi Arabia an Empirical Study

Ali,

Khan,

Nabi

et al. 2024

J. of Law and Sust. Develop.

Self Cite

View full text Add to dashboard Cite

Objective: The rapid stride in mobile payment adoption has transformed the payment practices in the 21st Century. Admittedly, m-payment practice has become more intense due to the surge in usage of internet, mobile devices (smart phones), accelerated further by the spread of the Covid-19 Pandemic. Against such a backdrop, it is the need of the hour to investigate: Why are people starting to use mobile payments more and how will that affect their purchasing habits? The study's intention is to add to what's already been written on electronic banking and mobile banking specifically. The study provides a report on m-banking's development, assesses the potential for its adoption, and identifies potential avenues for expansion in Saudi Arabia. They aid Saudi Arabian banking decision-makers in locating and developing strategies for supplying m-banking services that will help them keep their competitive edge. Methods: While electronically distributed surveys can reach more people more quickly and for less money, this method also has the potential to introduce bias into the sample by excluding people who don't have access to the internet. In addition, the data acquired from the respondents in many mobile payment and mobile banking studies can enhance selection bias. Researchers used both paper-print and online survey methods to disseminate survey instruments, reducing selection bias and increasing response rates. Other potential sources of common method bias (CMB) include the retrospective nature of the survey, the use of a commonly used scale format for constructs, and the fact that respondents were asked to provide information about both the independent and dependent variables in the same question. As a result, SEM has emerged as the gold standard in the field of theory testing, especially as it pertains to studies of IS/IT adoption. Statistical modelling with structural equation modelling (SEM) was chosen as the advanced inferential analytic technique for this study. Aim: The present study also aims to identify the perceived risk, trust, self-efficacy, past experience, attitude, anxiety, and customer support associated with the mobile payment. Lastly, this study will be a path-breaking one because of its intended contribution to the policy-makers and to the society at large in the Kingdom of Saudi Arabia. Needless to say, outcome of the study was providing managerial inputs to various mobile payment platforms. Results: Consumers' intent to utilize mobile banking was strongly correlated with their level of trust and Application of Mobile Banking. In similar way Self-efficacy directly and positively related to the consumer intention towards mobile banking adoption. In the same ways, past experience directly and positively related to the consumer intention towards mobile banking adoption. In the same way, there is a positive and direct relationship between customer intention and the use of mobile banking. Lack of a causal relationship between attitude and consumer desire to use mobile banking. Perceived risk not directly and positively related to the consumer intention towards mobile banking adoption Anxiety not directly and positively related to the consumer intention towards mobile banking adoption. Conclusion: This study intends to identify the various drivers of mobile payment adoption by examining how consumers' spending habits have changed in response to the popularity of mobile payment systems and the relationship between various payment mechanisms. The study's primary aim is to establish precisely the point when mobile payments will become the norm can replace debit and credit card transactions. Besides transaction activities, online payment channels are enhancing mobile payment adoption and lead to increase in the online transactions, local penetration further escalating increased transaction activities.

show abstract

“…However, programs and measures have been put in place to effectively support both environmental sustainability and financial development [ 9 ]. Nevertheless, the results reported for these programs are not reliable, and research that does not take the composite risk index into account offers conflicting conclusions about environmental measures [ 10 ]. Investigating these issues and providing environmental, economic, and policy-oriented recommendations that pertain to both the economy and the environment are therefore crucial tasks [ 11 ].…”

Section: Introductionmentioning

confidence: 99%

Financial Development and Environmental Degradation: Promoting Low-Carbon Competitiveness in E7 Economies’ Industries

Li¹,

Khan

Haider

et al. 2022

IJERPH

Self Cite

View full text Add to dashboard Cite

Emerging countries are approaching economic prosperity. However, the development process has enhanced their ecological footprints, thus promoting low-carbon competitiveness among E7 countries’ industries. Therefore, it is essential to identify the factors that affect a country’s ecological footprint (EF) in order to safeguard the environment. This study explored the effect of financial development, human capital, and institutional quality on the EF of emerging countries. Furthermore, we explored the effect of financial development on the EF of emerging countries through the human capital channel. In addition, we investigated the role of institutional quality in the financial development–EF nexus. Using panel data from 1990 to 2018, we employed the cross-sectional autoregressive distributed lag (CS-ARDL) technique to conduct a short-term and long-term empirical analysis. The empirical outcomes revealed that financial development degrades ecological quality by raising the EF. The findings further demonstrated that human capital and institutional quality reduce the EF. Moreover, financial development fosters environmental sustainability through the channel of human capital. Additionally, institutional quality reduces the negative ecological impacts of financial development. The causality analysis suggested that any policy related to financial development, human capital, and institutional quality will affect the EF. However, the inverse conclusion was not sustained. Based on these findings, emerging economies should increase their environmental sustainability by promoting human capital and effectively using financial resources.

show abstract

Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID‐19

Cited by 7 publications

References 64 publications

Price Discovery and Market Efficiency in India's Financial Futures Market within the Derivatives Landscape: An Empirical Analysis

Price Discovery and Market Efficiency in India's Financial Futures Market within the Derivatives Landscape: An Empirical Analysis

Consumer Adoption of Mobile Payment in the Kingdom of Saudi Arabia an Empirical Study

Financial Development and Environmental Degradation: Promoting Low-Carbon Competitiveness in E7 Economies’ Industries

Contact Info

Product

Resources

About