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Keywords: Index volatility
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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
... of mispricing dynamics. Second, it elucidates the intricate relationships between various market factors, such as index volatility, futures volume and open interest, and their collective impact on mispricing. Third, the study provides insights into the effectiveness of index arbitrage strategies in the Indian...
Includes: Supplementary data
