a study on price and open interest in indian stock index(NIFTY)futures market

manju smita dash

Abstract


This study examines the relation between price and open interest in the Indian Stock Index (Nifty) Futures Market. The focus is on GARCH effects and the long run role of open interest. It is found that current open interest helps in explaining GARCH effects. Furthermore, Granger Causality test suggests the future price tends to drive open interest in the long run but not the other way around. This suggests that the information of open interest can be used to predict the future prices in the long run.

 


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ISSN : 2251-1555