文章基本信息

标题：Is There Any Real Market Indicator to Predict Stock Index Returns? A SEM Approach
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作者：G. Naresh ; S. Thiyagarajan ; S. Mahalakshmi 等
期刊名称：Advances in Economics and Business
印刷版ISSN：2331-5059
电子版ISSN：2331-5075
出版年度：2016
卷号：4
期号：8
页码：407-413
DOI：10.13189/aeb.2016.040803
语种：English
出版社：Horizon Research Publishing
摘要：The collapse of Lehman Brothers that led to global financial crisis had not left the Indian market too. During crisis many investors who determine their strategies in the underlying market based on the traditional indices and future prices movements were clueless about the plunge in the markets. The two benchmark stock indices, the Nifty and Sensex have ceased to reflect the 'true' performance of Indian stock markets today (Business Line, [2]). Thus investors tracking the market based on the popular indices alone as the market indicator will not suffice their hunger for building profitable trading strategies. Thus in the current scenario, to gauge any uncertainty in the market and to capture the underlining market movements in a systematic manner, the market volatility, liquidity, futures price should be closely monitored. Hence, this paper aimed at looking into the complex relationship between India VIX (Volatility Index), Index Futures, Open Interest (Liquidity) and NIFTY (Market) by applying Structural Equation Model (SEM) by which the impact of VIX, Nifty Futures and Open Interest on Nifty prices and their inter-relationships were studied to better understand the underlying market performance.
关键词：Volatility Index;Index Futures;Open Interest;Market Indicators;Structural Equation Modelling