Anilkumar G Garag
A Management Professional with wide area of expertise and experience in Investment Banking, Management Consultancy, Management Education and Corporate Training.
For an idea about what I stand for and my views about the economy, markets, etc. please visit http://www.anilgarag.blogspot.com
Specialties: Investment Management, Derivatives, International Finance, Management Consulting, Management Development Programs, Corporate Restructuring
Supervisors: Ramesh Bommadevara
Phone: +919341105794
Address: Bengaluru, Karnataka, India
For an idea about what I stand for and my views about the economy, markets, etc. please visit http://www.anilgarag.blogspot.com
Specialties: Investment Management, Derivatives, International Finance, Management Consulting, Management Development Programs, Corporate Restructuring
Supervisors: Ramesh Bommadevara
Phone: +919341105794
Address: Bengaluru, Karnataka, India
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Papers by Anilkumar G Garag
the change in the prices of futures contracts of specific stocks
and the change in Open Interest. Participants in the stock
markets believe that the amount of open interest in a
particular contract has a bearing on the behavior of the price
of the contract. This popular perception is put to test in the
following research by correlating the change in open interest in
stock futures with the change in the futures prices.
Empirical data has been collected from bhav copies published
by the National Stock Exchange, India and then the data is
subjected to correlation analysis to find out the significance of
these parameters. The daily price data and open interest data
is collected for sixteen stocks and the index (NIFTY) for a
period of 4 years. The correlation between the change in
futures price and the change in open interest is calculated for
near month contracts of these seventeen futures contracts.
stocks, spot prices in the cash market, the cost of carry and the MIBOR rates. The study
assumes that the cost of carry is closely related to the MIBOR rates and it varies according to
the MIBOR rate which signifies the cost of Liquid funds in the system.
Based on the Empirical data collected from bhav copies published by the National Stock
Exchange, India for the period of 2002 to 2006, it was found that there is very low correlation
between the cost of carry and the risk free rate of return. The same results were found
between the change in cost of carry and the change in risk free rate of return.
This study concludes that, the cost of carry cannot be assumed to be the risk free rate and a
component of risk in the form of volatility has to be inducted into the model to make it
complete.
miscs by Anilkumar G Garag
articles by Anilkumar G Garag
the change in the prices of futures contracts of specific stocks
and the change in Open Interest. Participants in the stock
markets believe that the amount of open interest in a
particular contract has a bearing on the behavior of the price
of the contract. This popular perception is put to test in the
following research by correlating the change in open interest in
stock futures with the change in the futures prices.
Empirical data has been collected from bhav copies published
by the National Stock Exchange, India and then the data is
subjected to correlation analysis to find out the significance of
these parameters. The daily price data and open interest data
is collected for sixteen stocks and the index (NIFTY) for a
period of 4 years. The correlation between the change in
futures price and the change in open interest is calculated for
near month contracts of these seventeen futures contracts.
stocks, spot prices in the cash market, the cost of carry and the MIBOR rates. The study
assumes that the cost of carry is closely related to the MIBOR rates and it varies according to
the MIBOR rate which signifies the cost of Liquid funds in the system.
Based on the Empirical data collected from bhav copies published by the National Stock
Exchange, India for the period of 2002 to 2006, it was found that there is very low correlation
between the cost of carry and the risk free rate of return. The same results were found
between the change in cost of carry and the change in risk free rate of return.
This study concludes that, the cost of carry cannot be assumed to be the risk free rate and a
component of risk in the form of volatility has to be inducted into the model to make it
complete.