Please use this identifier to cite or link to this item:
Title: Signaling in financial markets A study on Indian futures market
Researcher: Prasanna Kumar Barik
Guide(s): Supriya, M.V.
Keywords: Financial markets, Indian, Employment, Wage determinations, Indian Index
Upload Date: 17-Dec-2013
University: Anna University
Completed Date: 
Abstract: There are several types of markets across the world. Starting from the pure competition to the oligopoly market type, each has its own importance. This study attempts to understand the functional relationship between trading value and trading price of Nifty Futures. It also tries to understand the cause and effect of this functional relationship in demand side, supply side and equilibrium situations. Further, the study evaluated the signaling effect of efficient pricing system and efficient order entry system. This study used the high frequency limit order data for S and P CNX Nifty Index futures contract from December 02, 2002 to November 30, 2004, which is provided by National Stock Exchange of India Limited. In the first phase Box-Cox transformation model is used. In the second and third phases of estimation the GARCH (1, 1) framework model with two stage modeling procedure is used. The efficient pricing system and efficient order entry system have signaling effect. The proposed theoretical model uses these signals and is perhaps appropriate to maximize the returns. The estimated elasticity of demand is greater than one for the period of study. Therefore, the Indian Nifty Futures market appears to be a monopoly type. However, the degree of monopoly is reducing over time. It is expected that, in course of time, the market will become competitive. newline
Pagination: xiii, 120
Appears in Departments:Faculty of Science and Humanities

Files in This Item:
File Description SizeFormat 
01_title.pdfAttached File51.79 kBAdobe PDFView/Open
02_certificate.pdf15.3 kBAdobe PDFView/Open
03_abstract.pdf21.78 kBAdobe PDFView/Open
04_acknowledgements.pdf14.89 kBAdobe PDFView/Open
05_contents.pdf27.82 kBAdobe PDFView/Open
06_chapter 1.pdf42.81 kBAdobe PDFView/Open
07_chapter 2.pdf147.64 kBAdobe PDFView/Open
08_chapter 3.pdf93.75 kBAdobe PDFView/Open
09_chapter 4.pdf471.36 kBAdobe PDFView/Open
10_chapter 5.pdf56.99 kBAdobe PDFView/Open
11_references.pdf45.13 kBAdobe PDFView/Open
12_publications.pdf14.27 kBAdobe PDFView/Open
13_vitae.pdf13.27 kBAdobe PDFView/Open

Items in Shodhganga are protected by copyright, with all rights reserved, unless otherwise indicated.