Understanding the Interdependency between the Nifty 50 Future Index and the Advanced Future Stock Market through Econometrics
Arya Kumar , Faculty of Finance, College of IT and Management Education, Biju Patnaik University of Technology, Bhubaneswar.
Manuscript received on November 20, 2019. | Revised Manuscript received on November 26, 2019. | Manuscript published on 30 November, 2019. | PP: 3660-3664 | Volume-8 Issue-4, November 2019. | Retrieval Number: D7880118419/2019©BEIESP | DOI: 10.35940/ijrte.D7880.118419
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: In recent times the stock market is accepted as a tool to measure the economic condition of a nation. It is found that the Indian financial market as highly volatile due to the lower value of rupees in foreign exchange with the dollar. This motivated the researchers to measure the interdependencies of [Nifty 50 future (India), Nikkei 225(Japan), NASDAQ 100 Futures (USA), Dow Jones 30 (USA), SSEC (China), Hang Seng Future (Hong Kong), and FTSE 100 (London)]. The analysis covers monthly stock prices for a period of 10years from April 2008 to March 2018. The measurement of interdependencies is studied through granger causality and correlation after the confirmation of the non-normality of data and stationary of data. The result shows a high degree of correlation between NASDAQ and Dow Jones shows 98.76% followed by 96.89% between Nifty 50 future and NASDAQ. The co-movement result of Nifty 50 future through granger causality states Nifty 50 future can explain the future stock market of Nikkei (Japan) and SSEC (China) and the Hang Seng future (Hong Kong) has a bidirectional movement with Nifty 50 futures. The study is useful for the investors to identify the interdependencies of the indices and understand the movement in a significant manner.
Keywords: Future Market Advanced Country, Correlation, Granger Causality.
Scope of the Article: Program Understanding and System Maintenance.