| 000 -LEADER |
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| fixed length control field |
01992nam a2200169 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
190411b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Sehgal, Sanjay |
| 245 ## - TITLE STATEMENT |
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| Title |
Domestic and international information linkages for the US Dollar/Indian rupee contracts: an empirical study |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Date of publication, distribution, etc |
2018 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
p.205-233. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
This study examines price discovery and volatility linkages between USD/INR spot and futures contracts in India and between USD/INR futures contracts on National Stock Exchange of India Limited (NSE), India and on three international exchanges, namely Singapore Exchange (SGX), Dubai Gold and Commodity Exchange (DGCX) and Chicago Mercantile Exchange (CME), from 29 August 2008 to 30 March 2015. Findings show that, at domestic level, the futures dominate spot in the Indian currency market; these findings are stronger than those in an earlier study, indicating improved pricing as well as hedging efficiency in the Indian currency market. At international level, NSE is dominated by both CME and DGCX in price discovery and in short-term volatility spillovers, while NSE dominates both exchanges in long-term volatility spillovers. Further, NSE dominates SGX in the international information process. The dominance of CME and DGCX over NSE may be on account of their several advantages such as longer trading hours, operations being open even after NSE has shut business, much lower trading costs as well as lower regulatory restrictions. The study provides several significant policy suggestions for improving efficiency of the Indian currency market and is also relevant for foreign portfolio investors (FPIs), domestic investors, researchers and academicians. It contributes to literature on information transmission relating to currency markets in emerging economies. - Reproduced. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Derivatives |
| 9 (RLIN) |
4316 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Dutt, Mala |
| 9 (RLIN) |
4317 |
| 773 ## - HOST ITEM ENTRY |
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| Main entry heading |
Management and Labour Studies |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
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| Subject DIP |
Exchange rates |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
|
| Item type |
Articles |
