Govind Patra - Academia.edu (original) (raw)

Papers by Govind Patra

Impact of Currency Futures on Spot Market Volatility in Indian Foreign Exchange Market

Journal of Global Information and Business Strategy

This work is an endeavor to explore the relationship of Lag between future & underlying m... more This work is an endeavor to explore the relationship of Lag between future & underlying market, ie. Spot in foreign exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is comprised of both analytical and empirical. The daily exchange rates of US Dollar and Indian Rupee (INR) were collected over some time from 30th January 2015 up to 23rd November 2020. The presented study has been worked out in four phases. First is to get (Augmented Dickey-Fuller), unit root and stationarity tests PP (i.e., Philips-Perron) & Kwiatkowski Phillips Schmidt-Shin) is being applied to check time series data stationarity. Second, to get cointegration between the futures and spot market tests (Johansen's Cointegration Test) was used. Granger Causality and Vector error correction models are used to get the lag relationship between futures and spot markets. The results depict the long-run relationship between the spot market and futures market, and the futures market is seen as leading in the empirical analysis of this paper. From the perspective of Investors, hedgers, and Policy Maker, Currency Futures has more helpful information to work further.

International journal of health sciences

The work aimed going to ascertain the efficacy of the currency futures on cash-market or Spot exc... more The work aimed going to ascertain the efficacy of the currency futures on cash-market or Spot exchange rates volatility with respect of USD/INR, EURO/INR, GBP/INR & JPY/INR. The daily closing of have been taken from RBI website. Also, the time series data is checked for stationarity using ADF test. Existence of ARCH effect examined in spot rate residual of the return series data and checked with Autoregressive conditional heteroskedasticity L.M. test by using GARCH (1,1) model. Findings of GARCH model shows that large volatility is persistent pre-introduction of currency futures and finding shows presence of time-varying conditional volatility of returns of currencies spot prices at pre-post and total period of currency futures introduction in currency exchange market. The variances in volatility of the exchange rate returns of pre and post introduction of currency futures time periods being analyzed by using statistical tools. Findings shows to be importantly varied and volatility...

The Challenges For SMEs In Green Finance Initiatives Adoption

SSRN Electronic Journal

After more than a decade of derivatives trading in Indian bourses, our markets have experienced a... more After more than a decade of derivatives trading in Indian bourses, our markets have experienced a sea change in activity, behavior and trade in different instruments and products available. Here in this paper, we have examined and compared which market among cash and futures reacts to the flow of information faster and hence leads the other. A cross correlation test followed by Granger casualty, VAR and GARCH models establish relationship between returns and volatilities being experienced by some of the blue chip sensex stocks in two different markets. Our results suggest that there exists a strong bidirectional and contemporaneous relationship among the returns in the spot and futures market. The results for few stocks indicate lagged futures return coefficient is significant which means futures play a leading role in explaining the movement in the spot market. Also for some other stocks, exact reverse situation is observed showing significant leading futures return coefficient whi...

This study examined the relationship between market price and NAV of se l ec t Exchange Traded Fu... more This study examined the relationship between market price and NAV of se l ec t Exchange Traded Funds (ETF). The study employed ADF Unit Root Test for establishment of casual relationship between market price and NAV of ETFs traded in NSE. The study revealed that the daily closing price and NAV of the selected ETFs are stationary in first difference and casuality test indicate bidirectional relationship between market price and NAV.

A Testing of Lead-lag Relationship between Nifty Spot and Futures Index Returns and Volatility

It has been almost a decade since the introduction of derivatives instruments in Indian bourses l... more It has been almost a decade since the introduction of derivatives instruments in Indian bourses like Options and Futures trading replacing thereby age old Badla transactions and almost two decades since the introduction and implementation of liberalization, privatization and globalization policies in Indian economy. This has resulted in a sea change in growth and development of Indian economy and enhanced activity and trade in Indian stock markets. This paper examines and compares the reaction of futures and cash markets to the flow of information and tries to establish a lead-lag relationship between the two markets in terms of returns and volatilities being experienced by NIFTY and NIFTY futures indices in two different markets. Our results suggests that though there is a strong contemporaneous and bi-directional relationship among the returns in the spot and futures market, the spot market has been found to play comparatively stronger leading role in disseminating information ava...

Prediction of Financial Distress in Indian Firms Using Altman Z-Score Model

The Journal of Contemporary Issues in Business and Government, 2021

Recently, it is notable that business environment is everchanging. Due to dynamic business enviro... more Recently, it is notable that business environment is everchanging. Due to dynamic business environment, companies have to face many problems without coping up with the changed environment, companies are not able to survive in the market. If the company is slow in responding to changes in the environment any social economic and technological changes may affects its performance. India is a developing country. Central and state governments take many industrial reform initiatives for the industrial growth. But due to enhance uncertainty scenario, many companies have been suffering from distress and bankruptcy has become very major problem in India because it’s become challenging for the companies to survive in the market in ever growing business environment. Companies can escape from the situation of the bankruptcy by the constantly update themselves.

It has been almost a decade since the introduction derivatives instruments like Options and Futur... more It has been almost a decade since the introduction derivatives instruments like Options and Futures trading in Indian bourses and almost two decades since the introduction and implementation of liberalizati on, privatization and globalization policies in Indian economy. This has re ulted in sea change in growth and development of Indian economy and enhanc ed a tivity and trade in Indian stock markets. This paper measures and compa res volatility in spot and futures markets through use of certain descriptive statistical measures first and then through measures of conditional variance model ed in different ARCH family of frameworks for NIFTY index as well as ten selected blue chip sensex International Journal of Retail Management and Research (IJRMR) Vol.2, Issue 1 (2012) 19-50 © TJPRC Pvt. Ltd., Govind Chandra Patra and Shakti Ranjan Mohapatra 20 stocks. Through the measure of standard deviation, we observed that variability is more for index and most of the stocks traded in futures ...