An Empirical Study of Long Run Relationship between Spot and Futures Prices in Indian Financial Market |

Published in Journal

Anusandhan (RNTUJ-AN) [RNTUJ-AN] (Vol:17/ Issue: 26) DOI: [NA]
Authors: Ish Gupta* Richa Bhatia
Subjects: Technology & Management

Year: Sep, 2019
Volume: 17 / Issue: 26
Pages: 2051-2057
Publisher: RNTU
Source:
ISSN: 2278-4187
E-ISSN: 2457-0656
DOI: NA
Published URL:
Published On: Sep, 2019

Article Details

An Empirical Study of Long Run Relationship between Spot and Futures Prices in Indian Financial Market | | Original Article

Ish Gupta* Richa Bhatia in Anusandhan (RNTUJ-AN) | Multidisciplinary Academic Research

ABSTRACT:

This paper aims to analyse the long run relationship between the futures and spot exchange rates of four currencies (“USDINR, EUROINR, GBPINR and JPYINR”). The data was tested for stationarity, cointegration and causality, and the results affirm that a long run relationship exists among the futures and spot exchange rates. The findings are very significant for policy makers, investors, and marketers since it provides a reliable forecast of exchange rates in the futures market which measures to effectively manage the risks.