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Table of Contents
Supervisor’s Certificate
Declaration
Acknowledgement
Table of contents
List of Tables
List of Figures
List of Abbreviations
Chapter 1 Introduction 1-43
1.1 Problem Statement 1
1.2 Derivatives 3
1.3.1 History of Global Derivatives Markets 4
1.3.2 History of Indian Derivatives Markets 5
1. 4 Reasons for the Rapid Growth of Derivatives markets 10
1.5 Derivatives and Risk Management 11
1.6 Participants in Derivatives Market 13
1.7 Derivative Products 15
1.8 Functions of Futures Market 18
1.9 Market Efficiency 19
1.10 Price Discovery 23
1.11 Theoretical Framework of Futures Contracts’ Pricing 24
1.11.1 Pricing Investment Assets 27
1.11.2 Pricing Consumption Assets 28
1.12 Inter-Market Relationship 29
1.12.1 Relationships between Equity, Currency, Commodity and Bond Markets 31
1.12.1.1 Commodity versus Bonds 32
1.12.1.2 Bonds versus Stocks 32
1.12.1.3 Commodities versus Currency (U.S. Dollar) 33
1.12.1.4 Currency (Dollar) versus Stocks 33
1.12.1.5 Commodities versus Stocks 34
1.13 Regulatory Environment 34
1.13.1 Stages in Futures Trading 36
1.13.2 Trading and Settlement Mechanism of National Stock Exchange 36
1.13.3 Trading Mechanism of Multi Commodity Exchange 41
Chapter 2 An Overview of Futures Market in India 44-70
2.1 Equity Segment 44
2.1.1 The Bombay Stock Exchange (BSE) 44
2.1.2 The National Stock Exchange of India Limited (NSE) 45
2.1.3 The MCX Stock Exchange Limited (MCX-SX) 45
2.2 Currency Segment 53
2.3 Commodity Segment 57
2.3.1 Growth, Size and Development of Individual Commodity Exchange 61
2.3.1 .1 Multi Commodity Exchange of India Limited (MCX) 61
2.3.1.1.1 Indexes of MCX 63
2.3.1.2 National Commodity & Derivatives Exchange Limited (NCDEX) 65
2.3.1.3 National Multi Commodity Exchange of India (NMCE) 65
2.3.1.4 Indian Commodity Exchange Limited (ICEX) 66
2.3.1.5 ACE Derivatives and Commodity Exchange Limited 67
2.3.1.6 Universal Commodity Exchange Limited 68
2.3.1.7 Recognized Regional Commodity Exchanges in India 69
Chapter 3 Review of Literature 71-119
3.1 Price Discovery in Equity Segment 71
3.2 Price Discovery in Currency Segment 80
3.3 Price Discovery in Commodity Segment 83
3.4 Reasons for Price Discovery 92
3.5 Relationship between Commodity and Equity Markets 94
3.6 Relationship between Currency and Equity Markets 98
3.7 Relationship between Commodity and Currency Markets 109
3.8 Relationship between Equity, Commodity and Currency Markets 115
Chapter 4 Research Methodology 120-134
4.1 Objectives of the Study 120
4.2 Null Hypotheses of the Study 120
4.3 Research Design 121
4.3.1 Universe and Sample of the Study 122
4.3.2 Data and Methodology of the Study 123
4.3.2.1 Equity Segment 123
4.3.2.2 Currency Segment 124
4.3.2.3 Commodity Segment 124
4.3.3 Methodology/ Data Analysis Techniques 124
4.3.3.1 Analysis Pattern 125
4.3.3.2 Financial Modeling of Returns 126
4.3.3.3 Stationarity Test 126
4.3.3.4 Cointegartion Test 128
4.3.3.4.1 Engle and Granger Technique 128
4.3.3.4.2 Johansen Cointegration Test 129
4.3.3.5 Vector Error-Correction Model 131
4.3.3.6 Vector Autoregressive Model 132
4.3.3.7 Block Significance and Causality Tests 133
Chapter 5 Data Analysis and Interpretation 135-235
5.1 Basic Features of Data 135
5.1.1 Basic Features of Data in Equity Segment 136
5.1.2 Basic Features of Data in Currency Segment 147
5.1.3 Basic Features of Data in Commodity Segment 156
5.2 Objective 1: To examine the price discovery efficiency of Indian equity 165
futures market and equity spot market.
5.3 Objective 2: To investigate the price discovery efficiency of Indian currency 188
futures market and currency spot market.
5.4 Objective 3: To study the price discovery efficiency of Indian commodity 203
futures market and commodity spot market.
5.5 Objective 4: To examine the relationship among equity, currency and 216
commodity markets.
5.5.1 Relationship among Equity, Currency and Commodity Markets In Futures
Segment 217
5.5.2 Relationship among Equity, Currency and Commodity Markets in
Spot Segment. 226
Chapter 6 Conclusions and Recommendations 236-249
6.1 Price Discovery Efficiency in Futures and Spot Market 237
6.1.1 Price Discovery in Equity Market 237
6.1.2 Price Discovery in Currency Market 240
6.1.3 Price Discovery in Commodity Market 242
6.2.1 Inter-Relationship among Equity, Currency and Commodity Futures Markets244
6.2.2 Inter-Relationship among Equity, Currency and Commodity Spot Markets 246
6.3 Suggestions of the Study 246
6.4 Limitations and Scope for Further Research 249
References 250-267
Appendices 268-274
List of Tables
Chapter 1 Introduction
Table 1.1: Derivatives in India: a Chronology 8
Chapter 2 An Overview of Futures Market in India
Table 2.1: Trends in Turnover and Open Interest in Equity Derivatives
Segment of NSE and BSE 46
Table 2.2: Trends in Turnover and Open Interest in Equity Derivatives
Segment of MCX-SX 47
Table 2.3: Trends in Turnover in Equity Cash Segment 49
Table 2.4: Turnover in BSE and NSE 50
Table 2.5: Product-Wise Derivatives Turnover at NSE, BSE and MCX-SX 51
Table 2.6: Trends in No. of Contracts Traded, Turnover and Open Interest in
Currency Derivatives 55
Table 2.7: Product-Wise Market Share in Currency Derivatives Volume
(In percent) 56
Table 2.8: Percentage Share of Indian Commodity Exchanges in Total Value of
Commodities Traded 58
Table 2.9: Segment Wise Value of Trade of Indian Commodity Exchanges
(Value in Crore) 59
Table 2.10: Volume of Trading and Value of Trade during the Year 2013-14
in Major Commodities (Volume of Trading - In lakh tonne, Value - In Rs. Crore) 60
Table 2.11: Composition of the MCXCOMDEX Index
64
Chapter 4 Research Methodology
Table 4.1: Time Period and No. of Observations of Selected Equity Indexes 123
Table 4.2: Time Period and No. of Observations of Selected Exchange Rates 124
Table 4.3: Time Period and No. of Observations of Selected Commodity Indexes 124
Chapter 5 Data Analysis and Interpretation
Table 5.1: Descriptive Statistics of Equity Indexes’ Prices 146
Table 5.2: Descriptive Statistics of Currency Exchange Rates 155
Table 5.3: Descriptive Statistics of Commodity Indexes’ Prices 163
Table 5.4: ADF Unit Root Test Results of Equity Indexes Future and Spot Prices 166
Table 5.5: PP Unit Root Test Results of Equity Indexes Future and Spot Prices 167
Table 5.6: Residual Series Unit Root Test Results of Equity Indexes 173
Table 5.7: VAR Model Lag Order Selection Criteria Results (S&P CNX Nifty) 174
Table 5.8: VAR Model Lag Order Selection Criteria Results (CNX IT) 175
Table 5.9: VAR Model Lag Order Selection Criteria Results (Bank Nifty) 175
Table 5.10: VAR Model Lag Order Selection Criteria Results (Nifty Midcap) 175
Table 5.11: VAR Model Lag Order Selection Criteria Results (CNX PSE) 176
Table 5.12: VAR Model Lag Order Selection Criteria Results (CNX INFRA) 176
Table 5.13: Cointegration Test Results of Equity Indexes (Trace Statistics) 177
Table 5.14: Cointegration Test Result of Equity Indexes (Maximum Eigen Value) 178
Table 5.15: VECM Long Run Causality Results of Equity Indexes 180
Table 5.16: VECM Short Run Causality Results (S&P CNX NIFTY) 181
Table 5.17: VECM Short Run Causality Results (CNX IT) 182
Table 5.18: VECM Short Run Causality Results (Bank Nifty) 182
Table 5.19: VECM Short Run Causality Results (Nifty Midcap) 183
Table 5.20: VECM Short Run Causality Results (CNX PSE) 184
Table 5.21: VECM Short Run Causality Results (CNX INFRA) 184
Table 5.22: VEC Granger Causality/Block Exogeneity Wald Test Results of
Equity Indexes 186
Table 5.23: ADF Unit Root Test Results of Future and Spot Exchange Rates 189
Table 5.24: PP Unit Root Test Results of Future and Spot Exchange Rates 190
Table 5.25: Residual Series Unit Root Test Results of Currency Exchange Rates 194
Table 5.26: VAR Model Lag Order Selection Criteria Results (USD/INR) 194
Table 5.27: VAR Model Lag Order Selection Criteria Results (GBP/INR) 195
Table 5.28: VAR Model Lag Order Selection Criteria Results (JPY/INR) 195
Table 5.29: VAR Model Lag Order Selection Criteria Results (EURO/INR) 195
Table 5.30: Cointegration Test Results of Currency Exchange Rates
(Trace Statistics) 196
Table 5.31: Cointegration Test Results Currency Exchange Rates (Max Eigen
Statistics) 197
Table 5.32: VECM Long Run Causality Results of Currency Exchange Rates 197
Table 5.33: VECM Short Run Causality Results (USD/INR) 198
Table 5.34: VECM Short Run Causality Results (GBP/INR) 199
Table 5.35: VECM Short Run Causality Results (JPY/INR) 200
Table 5.36: VECM Short Run Causality Results (EURO/INR) 200
Table 5.37: VEC Granger Causality/Block Exogeneity Wald Test Results of
Currency Exchange Rates 202
Table 5.38: ADF Unit Root Test Results of Commodity Indexes’ Future and Spot
Prices 204
Table 5.39: PP Unit Root Test Results of Commodity Indexes’ Future and
Spot Prices 205
Table 5.40: Residual Series Unit Root Test Results of Commodity Indexes 209
Table 5.41: VAR Model Lag Order Selection Criteria Results (MCXCOMDEX) 209
Table 5.42: VAR Model Lag Order Selection Criteria Results (MCXAGRI) 210
Table 5.43: VAR Model Lag Order Selection Criteria Results (MCXENERGY) 210
Table 5.44: VAR Model Lag Order Selection Criteria Results (MCXMETAL) 210
Table 5.45: Cointegration Test Results of Commodity Indexes (Trace Statistics) 211
Table 5.46: Cointegration Test Results of Commodity Indexes (Max- Eigen value)211
Table 5.47: VECM Long Run Causality Results of Commodity Indexes 212
Table 5.48: VECM Short Run Causality Results (MCX COMDEX) 213
Table 5.49: VECM Short Run Causality Results (MCX ENERGY) 214
Table 5.50: VECM Short Run Causality Results (MCX METAL) 214
Table 5.51: VAR/VEC Granger Causality/Block Exogeneity Wald Test Results 215
of Commodity Indexes
Table 5.52: Unit Root Test Results of Nifty, COMDEX Indexes and USD/INR
Exchange Rates in Future Market 219
Table 5.53: VAR Lag Selection Criteria Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Future Market 221
Table 5.54: Cointegration Test Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Future Market (Trace Statistics) 221
Table 5.55: Cointegration Test Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Future Market (Max- Eigen Statistics) 222
Table 5.56: VAR Short Run Causality Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Future Market 224
Table 5.57: VAR Granger Causality/Block Exogeneity Wald Test Results of
Nifty, COMDEX Indexes and USD/INR Exchange Rates in Future Market 225
Table 5.58: Unit Root Test Results of Nifty, COMDEX Indexes and USD/INR
Exchange Rates in Spot Market 228
Table 5.59: VAR Lag Selection Criteria Results of Nifty, COMDEX Indexes
and USD/INR Exchange Rates in Spot Market 230
Table 5.60: Cointegration Test Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Spot Market (Trace Statistics) 231
Table 5.61: Cointegration Test Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Spot Market (Max- Eigen Statistics) 231
Table 5.62: VAR Short Run Causality Results of Nifty, COMDEX Indexes and
USD/INR Exchange Rates in Spot Market 232
Table 5.63: VAR Granger Causality/Block Exogeneity Wald Test Results
Of Nifty, COMDEX Indexes and USD/INR Exchange Rates in Spot Market 233
Chapter 6 Conclusions and Recommendations
Table 6.1: Long Run Causality Results of Equity Market 239
Table 6.2: Short Run Causality Results of Equity Market 240
Table 6.3: Long Run Causality Results of Currency Market 241
Table 6.4: Short Run Causality Results of Currency Market 242
Table 6.5: Long Run Causality Results of Commodity Market 243
Table 6.6: Short Run Causality Results of Commodity Market 244
Table 6.7: Relationship among Equity, Currency and Commodity
Futures Markets 245
Table 6.8: Relationship among Equity, Currency and Commodity Spot Markets 246
List of Figures
Chapter 1 Introduction
Figure 1.1 Economic Rationale/ Framework 31
Figure 1.2 Relationships between Equity, Currency, Commodity
and Bond Markets 31
Figure 1.3 Clearing and Settlement Mechanism 39
Chapter 2 An Overview of Futures Market in India
Chart 2.1: Turnover in BSE and NSE 50
Chart 2.2: Exchange Wise Share in Equity Future Turnover during 2013-14 (in
Percentage) 51
Chart 2.3: Product-Wise Market Share in Currency Futures Volume (In Percent) 56
Chart 2.4: Commodity Exchanges Turnover 57
Chart 2.5: Year Wise Traded Contracts on MCX 62
Chart 2.6: Year Wise Value of Traded contracts on MCX 62
Chart 2.7: Percentage Share of the Value of the Commodities Traded at
MCX, Mumbai (2013-14) 63
Chart 2.8: Percentage Share of the Value of the Commodities Traded at NCDEX,
Mumbai (2013-14) 65
Chart 2.9: Percentage Share of the Value of the Commodities Traded at NMCE,
Ahmedabad (2013-14) 66
Chart 2.10: Percentage Share of the Value of the Commodities Traded at ICEX,
Mumbai (2013-14) 67
Chart 2.11: Percentage Share of the Value of the Commodities Traded at ACE,
Mumbai (2013-14) 68
Chart 2.12: Percentage Share of the Value of the Commodities Traded at
UCX, New Mumbai (2013-14) 69
Chapter 5 Data Analysis and Interpretation
Graph 5.1: Movements in Nifty Future Daily Prices 136
Graph 5.2: Movements in Nifty Spot Daily Prices 136
Graph 5.3: Comparison of Movements between Nifty Future and Spot Daily Prices137
Graph 5.4: Movements in CNX IT Future Daily Prices 138
Graph 5.5: Movements in CNX IT Spot Daily Prices 138
Graph 5.6: Comparison of Movements between CNX IT Future and Spot
Daily Prices 139
Graph 5.7: Movements in Bank Nifty Future Daily Prices 140
Graph 5.8: Movements in Bank Nifty Spot Daily Prices 140
Graph 5.9: Comparison of Movements between Bank Nifty Future and
Spot Daily Prices 140
Graph 5.10: Movements in Nifty Midcap Future Daily Prices 141
Graph 5.11: Movements in Nifty Midcap Spot Daily Prices 141
Graph 5.12: Comparison of Movements between Nifty Midcap Future and
Spot Daily Prices 142
Graph 5.13: Movements in CNX PSE Future Daily Prices 142
Graph 5.14: Movements in CNX PSE Spot Daily Prices 143
Graph 5.15: Comparison of Movements between CNX PSE Future and
Spot Daily Prices 143
Graph 5.16: Movements in CNX INFRA Future Daily Prices 144
Graph 5.17: Movements in CNX INFRA Spot Daily Prices 144
Graph 5.18: Comparison of Movements between CNX INFRA Future and
Spot Daily Prices 144
Graph 5.19: Movements in USD/INR Future Daily Exchange Rates 148
Graph 5.20: Movements in USD/INR Spot Daily Exchange Rates 148
Graph 5.21: Comparison of Movements between USD/INR Future and
Spot Daily Exchange Rates 148
Graph 5.22: Movements in EURO/INR Future Daily Exchange Rates 149
Graph 5.23: Movements in EURO/INR Spot Daily Exchange Rates 150
Graph 5.24: Comparison of Movements between EURO/INR Future and
Spot Daily Exchange Rates 150
Graph 5.25: Movements in GBP/INR Future Daily Exchange Rates 151
Graph 5.26: Movements in GBP/INR Spot Daily Exchange Rates 151
Graph 5.27: Comparison of Movements between GBP/INR Future and
Spot Daily Exchange Rates 152
Graph 5.28: Movements in JPY/INR Future Daily Exchange Rates 153
Graph 5.29: Movements in JPY/INR Spot Daily Exchange Rates 153
Graph 5.30: Comparison of Movements between JPY/INR Future and
Spot Daily Exchange Rates 153
Graph 5.31: Movements in MCX AGRI Future Daily Prices 156
Graph 5.32: Movements in MCX AGRI Spot Daily Prices 157
Graph 5.33: Comparison of Movements between MCX AGRI Future and
Spot Daily Prices 157
Graph 5.34: Movements in MCX COMDEX Future Daily Prices 158
Graph 5.35: Movements in MCX COMDEX Spot Daily Prices 158
Graph 5.36: Comparison of Movements between MCX COMDEX Future
and Spot Daily Prices 159
Graph 5.37: Movements in MCX ENERGY Future Daily Prices 159
Graph 5.38: Movements in MCX ENERGY Spot Daily Prices 160
Graph 5.39: Comparison of Movements between MCX ENERGY Future
and Spot Daily Prices 160
Graph 5.40: Movements in MCX METAL Future Daily Prices 161
Graph 5.41: Movements in MCX METAL Spot Daily Prices 161
Graph 5.42: Comparison of Movements between MCX METAL Future and
Spot Daily Prices 161
Graph 5.43: Movements in Nifty Future Returns 168
Graph 5.44: Movements in Nifty Spot Returns 168
Graph 5.45: Movements in CNX IT Future Returns 169
Graph 5.46: Movements in CNX IT Spot Returns 169
Graph 5.47: Movements in Bank Nifty Future Returns 169
Graph 5.48: Movements in Bank Nifty Spot Returns 170
Graph 5.49: Movements in Midcap Future Returns 170
Graph 5.50: Movements in Midcap Spot Returns 170
Graph 5.51: Movements in CNX INFRA Future Returns 171
Graph 5.52: Movements in CNX INFRA Spot Returns 171
Graph 5.53: Movements in CNX PSE Future Returns 171
Graph 5.54: Movements in CNX PSE Spot Returns 172
Graph 5.55: Movements in USD/INR Future Exchange Rate Returns 190
Graph 5.56: Movements in USD/INR Spot Exchange Rate Returns 191
Graph 5.57: Movements in EURO/INR Future Exchange Rate Returns 191
Graph 5.58: Movements in EURO/INR Spot Exchange Rate Returns 191
Graph 5.59: Movements in JPY/INR Future Exchange Rate Returns 192
Graph 5.60: Movements in JPY/INR Spot Exchange Rate Returns 192
Graph 5.61: Movements in GBP/INR Future Exchange Rate Returns 192
Graph 5.62: Movements in GBP/INR Spot Exchange Rate Returns 193
Graph 5.63: Movements in MCX COMDEX Future Returns 205
Graph 5.64: Movements in MCX COMDEX Spot Returns 206
Graph 5.65: Movements in MCX AGRI Future Returns 206
Graph 5.66: Movements in MCX AGRI Spot Returns 206
Graph 5.67: Movements in MCX ENERGY Future Returns 207
Graph 5.68: Movements in MCX ENERGY Spot Returns 207
Graph 5.69: Movements in MCX METAL Future Returns 207
Graph 5.70: Movements in MCX METAL Spot Returns 208
Graph 5.71: Movements in Nifty Future Daily Prices (29/8/2008 to 30/9/2013) 217
Graph 5.72: Movements in USD/INR Future Exchange Rates
(29/8/2008 to 30/9/2013) 218
Graph 5.73 Movements in COMDEX Future Prices (29/8/2008 to 30/9/2013) 218
Graph 5.74 Movements in Nifty, COMDEX Future Prices and USD/INR Future
Exchange Rates (29/8/2008 to 30/9/2013) 218
Graph 5.75 Movements in Nifty Futures Returns 220
Graph 5.76: Movements in USD/INR Futures Exchange Rate Returns 220
Graph 5.77: Movements in MCX COMDEX Futures Returns 220
Graph 5.78: Movements in Nifty Spot Prices (29/8/2008 to 30/9/2013) 227
Graph 5.79: Movements in USD/INR Spot Exchange Rates
(29/8/2008 to 30/9/2013) 227
Graph 5.80: Movements in MCX COMDEX Spot Prices
(29/8/2008 to 30/9/2013) 227
Graph 5.81: Movements in Nifty Spot Prices, USD/INR Spot Exchange
Rates and MCX COMDEX Spot Prices (29/8/2008 to 30/9/2013) 228
Graph 5.82: Movements in Nifty Spot Returns (29/8/2008 to 30/9/2013) 229
Graph 5.83: Movements in USD/INR Spot Exchange Rate Returns
(29/8/2008 to 30/9/2013) 229
Graph 5.84: Movements in MCX COMDEX Spot Returns
(29/8/2008 to 30/9/2013) 230
List of Abbreviations
ACE Ahmedabad Commodity Exchange
ADF Augmented Dickey Fuller
AIC Akaike information criterion
ARDL Autoregressive Distributed Lag
ARMA Autoregressive Moving Average
BSE Bombay Stock Exchange
CBOT Chicago Board of Trade
CDSL Central Depository Services (India) Ltd.
Chi-Sq Chi- Square
CME Chicago Mercantile Exchange
CMs Clearing Members
COMEX Commodity Exchange
CPI Consumer Price Index
Df Degree of Freedom
DJIA Dow Jones Industrial Average
DTB Deutsche Terminborse
ECM Error Correction Model
ERPT Exchange Rate Pass-Through
ETF Exchange-Traded Fund
EUR Euro
FCVAR Fractionally Cointegrated Vector Autoregressive
FIA Federal Investigation Agency
FMC Forward Markets Commission
FPE Final Prediction Error
FTIL Financial Technologies (India) Ltd
GARCH Generalized Auto- Regressive Conditional Heteroskedasticity
GBP Great Britain Pound
GOI Government of India
HQ Hannan-Quinn information criterion
ICEX Indian Commodity Exchange
IMF International Monetary Fund
IMM International Monetary Market
Infra CNX Infrastructure Index
INR Indian Rupee
ISO Internationalization Organization for Standardization
JCI Jakarta Composite Index
JPY Japanese Yen
JSE Johannesburg Stock Exchange
LEAPS Long-Term Equity Anticipation Securities
LIFFE London International Financial Futures Exchange
LME London Metal Exchange
MATIF Marche a Terme International de France
MCX Multi Commodity Exchange of India
MCX-SX Multi Commodity Stock Exchange
M-GARCH Multivariate Generalized Autoregressive Conditional Heteroskedasticity
MMI Major Market Index
NCDEX National Commodity and Derivatives Exchange
NEAT National Exchange For Automated Trading
NMCE National Multi Commodity Exchange
NSCCL National Securities Clearing Corporation Ltd.
NSDL National Securities Depository Ltd.
NSE National Stock Exchange
NYSE New York Stock Exchange
OECD Organization for Economic Corporation and Development
OLS Ordinary Least Square
OTC Over the Counter
PCMs Professional Clearing Members
PP Phillips Perron
PPI Producer Price Index
Prob. Probability
PSE Public Sector Enterprises
PSTR Panel Smooth Transition Regression
RBI Reserve Bank of India
RPF Risk Parameter File
SC Schwarz criterion
SCRA Securities Contracts (Regulation) Act
SEBI Securities Exchange Board of India
SEM Simultaneous Equation Model
SGX Singapore Exchange
SHFE Shanghai Futures Exchange
SIMEX Singapore International Monetary Exchange
Std. Error Standard Error
TIFFE Tokyo International Financial Futures Exchange
TVAR Threshold Vector Autoregression
TWS Trader Work Station
UCX Universal Commodity Exchange
UK United Kingdom
UNCTAD United Nations Conference on Trade and Development
US United States
USD Us Dollars
USE United Stock Exchange
VaR Value at Risk
VAR Vector Auto Regression Model
VAR-
EGARCH
Value at Risk-Exponential Generalized autoregressive Conditional
Heteroskedasticity
VECM Vector Error Correction Model
WTI West Texas Intermediate
Chapter 1
Introduction
Chapter 2
An Overview of Futures
Market in India
Chapter 3
Review of Literature
Chapter 4
Research Methodology
Chapter 5
Data Analysis and
Interpretation
Chapter 6
Conclusions
and
Recommendations
References
Appendices