Multiscale Price Discovery in Indian Markets
The study shows that about 90% of information exchange between the Nifty index spot and futures markets occurs within two weeks, with volatility being more crucial than liquidity for improving the informational efficiency of the index futures market.
Featured in No. 93 on 16 Apr 2025 · 4 days after release
- Released
- 12 Apr 2025
- First featured
- No. 93 · 16 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 5214406
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