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Keywords: Index Futures mispricing
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Journal Articles
Index futures mispricing: a multi-regime approach to the NIFTY 50 Index futures
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2024) 50 (12): 2091–2114.
Published: 28 August 2024
... to understand the fluctuations in NIFTY 50 Index futures mispricing. Findings The study reveals a complex interplay between various market factors and mispricing, including forward-looking volatility (measured by the NIFVIX index), changes in open interest, underlying index return, futures volume, index...
Includes: Supplementary data
