Title: Intraday price discovery and information sharing between stocks and single stock futures: evidence from India

Authors: Anshul Jain; Pratap Chandra Biswal

Addresses: FORE School of Management, Adhitam Kendra, Qutub Institutional Area, New Delhi – 110016, India ' Management Development Institute Gurgaon, Sukhrali, Gurgaon 122007, India

Abstract: This study examines the intraday price discovery and information sharing relationships between the constituent 50 stocks of the CNX Nifty Index and their corresponding single stock futures. Hasbrouck (1995) and Gonzalo and Granger (1995) methodologies are applied to price series observed at five-minute intervals to examine information sharing and price discovery functions. It was found that the cash market has a higher information share in 28 stocks, and the futures market has a higher information share in 22 stocks. The implication of these findings is that both the cash market and the futures market play an important role in absorbing information into prices and sharing with the associated market. The findings also indicate the presence of informed investors in both the cash and the futures market in India.

Keywords: CNX Nifty stocks; information sharing; Hasbrouck; Gonzalo-Granger; NSE; India; single stock futures; intraday price discovery; high frequency.

DOI: 10.1504/IJFMD.2015.073464

International Journal of Financial Markets and Derivatives, 2015 Vol.4 No.3/4, pp.203 - 212

Received: 25 Nov 2014
Accepted: 20 May 2015
Published online: 09 Dec 2015 *

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