Resilience of Indian Equity Versus Derivatives Markets: An Analysis Using VaR Approach

Tanupa Chakraborty

The IUP Journal of Applied Finance, 2012, vol. 18, issue 3, 95-108

Abstract: This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during dotcom and subprime mortgage crises over 2000-10 period. The study finds that losses based on one-day VaR at 95% confidence interval have been greater in the futures market than in their respective underlying spot markets, thereby implying that Indian derivatives market displays less resilience than its equity market.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:18:y:2012:i:3:p:95-108

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