International linkages of emerging market index futures, under the closure of underlying spot market...
International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures
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Publisher
Patrington: Emerald Publishing Limited
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Language
English
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Patrington: Emerald Publishing Limited
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PurposeThis study examines the dynamic linkages between the Indian Nifty index futures traded on the offshore Singapore Exchange (SGX) and US stock indices (DJIA, NASDAQ and S&P 500) under the closure of the spot market for Nifty futures.Design/methodology/approachWith high-frequency 5-min overlapping price data, the authors employ the Johansen coi...
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Full title
International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures
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TN_cdi_proquest_journals_2779123212
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2779123212
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ISSN
0307-4358
E-ISSN
1758-7743
DOI
10.1108/MF-04-2022-0191
