An investigation of long-run dynamic relationship of Korean and Indian futures indexes. (12th October 2009)

• Record Type: Journal Article
• Authors: Bagchi, Debasis
• Is Part Of: Afro-Asian journal of finance and accounting. Volume 1:Number 4(2009)
• Page Start: 306
• Page End: 321
• Publication Date: 2009-10-12
• Subjects: futures index -- cointegration -- vector error correction -- impulse response -- Korea -- India -- Kospi 200 -- Nifty futures -- price discovery; Accounting -- Africa -- Periodicals; Accounting -- Asia -- Periodicals; Accounting -- Middle East -- Periodicals; 657.0917165
• Languages: English
• ISSNs: 1751-6447

Abstract

We investigate the nature of the long-term dynamic relationship between the futures indexes of Korea and India. Both the Kospi 200 futures index and Nifty futures index are found to be non-stationary and cointegrated, meaning thereby that a long-term dynamic equilibrium relationship exists between them along with a Granger cause bidirectional relationship. The VECM results indicate that a lagged relationship exists between the two indexes. While lag 1 and lag 3 are statistically significant for Kospi 200 futures – Nifty futures, lag 4 and lag 6 are significant for Nifty futures – Kospi 200 futures. It is suggested that while information on Kospi 200 futures is more instantaneously discounted by the Nifty futures, the information on Nifty futures is relatively slowly discounted by the Kospi 200 futures index. The impulse response analysis suggests that the price discovery process is more efficient for Kospi 200 futures index than for Nifty futures index.