This page presents the aggregate of size and market quality measures for two segments of the Equity market: (1) spot, and (2) equity derivatives. Market size includes ADTV for all stocks in the spot segment, NIFTY futures and options, and the 50 most liquid single stock futures and options. Market quality measures focus on the spot, the single stock futures, and the NIFTY futures segment.
|ADTV (Rs. Bn)||6,838.72||6,523.21||6,731.40||5,819.51||5,567.49||6,638.85|
|Basis Risk (%)||2.68||2.30||2.53||2.18||2.00||1.45|
|VR (lag = 2)||0.94||0.98||0.88||0.85||0.96||0.99|
ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio
NSE: Bhavcopy data, FBIL: MIBOR rate