ISSN 2394-5125
 

Review Article 


INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH

Mahendra Pandey.

Abstract
This study investigates the factors such as Price’s volatility, market’s depth and
trading’s volume for currency futures market in India. The data for this study have been taken from the
NSE currency derivatives segment. We have used various analytical tools like unit root test for
stationarity of data. To know the nature of relations in terms of the movement and speedy effects of the
information drift among variables we have used Granger Causality, Co-integration (Johansen) and
VECM-“Vector Error Correction Model”. Unit root test exhibited that variables are not stationary at
the level but stationary at first difference. Granger Causality test indicated that volume and closing
price of currency futures had the bidirectional causal relationship whereas Open Interest and the futures
closing price had the unidirectional causal relationship and furthermore Open Interest and volume have
no causal relationship. Johansen co-integration and VECM proved the short term as well as long term
association between the variables.

Key words: ‘Currency futures’, “Johansen Co-integration”,“Vector Error Correction Model(VECM)”.


 
ARTICLE TOOLS
Abstract
PDF Fulltext
How to cite this articleHow to cite this article
Citation Tools
Related Records
 Articles by Mahendra Pandey
on Google
on Google Scholar


How to Cite this Article
Pubmed Style

Mahendra Pandey. INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. JCR. 2020; 7(16): 1597-1603. doi:10.31838/jcr.07.16.199


Web Style

Mahendra Pandey. INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. http://www.jcreview.com/?mno=5276 [Access: June 01, 2021]. doi:10.31838/jcr.07.16.199


AMA (American Medical Association) Style

Mahendra Pandey. INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. JCR. 2020; 7(16): 1597-1603. doi:10.31838/jcr.07.16.199



Vancouver/ICMJE Style

Mahendra Pandey. INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. JCR. (2020), [cited June 01, 2021]; 7(16): 1597-1603. doi:10.31838/jcr.07.16.199



Harvard Style

Mahendra Pandey (2020) INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. JCR, 7 (16), 1597-1603. doi:10.31838/jcr.07.16.199



Turabian Style

Mahendra Pandey. 2020. INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. Journal of Critical Reviews, 7 (16), 1597-1603. doi:10.31838/jcr.07.16.199



Chicago Style

Mahendra Pandey. "INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH." Journal of Critical Reviews 7 (2020), 1597-1603. doi:10.31838/jcr.07.16.199



MLA (The Modern Language Association) Style

Mahendra Pandey. "INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH." Journal of Critical Reviews 7.16 (2020), 1597-1603. Print. doi:10.31838/jcr.07.16.199



APA (American Psychological Association) Style

Mahendra Pandey (2020) INDIAN CURRENCY FUTURES MARKET – “A STUDY OF DYNAMIC RELATIONSHIP AMONG PRICE VOLATILITY, TRADING VOLUME AND MARKET DEPTH. Journal of Critical Reviews, 7 (16), 1597-1603. doi:10.31838/jcr.07.16.199