Does the Nature of Index and Liquidity Influence the Mispricing in Future Contracts in India?
In this study, we investigate the variations in the mispricing of futures in Nifty (benchmark index), Bank Nifty and Nifty IT. Using a regression model on 1230 observations for the period of 1 January 2014 to 31 December 2018, we find no significant mispricing exists in the last week to the expiry...
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| Format: | Article |
| Language: | English |
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Tuwhera Open Access Publisher
2020-11-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/244 |