The Securities Market Report Card presents a set of
market quality measures about the securities markets in India.
At present, the markets covered are: Equity -- cash, single stock futures, NIFTY futures; Currency -- spot, OTC derivatives, USD-INR futures and options; and Commodities futures on a subset of agri- and non-agri commodities. The market quality measures presented are:
(1) for Size: average daily traded volume;
(2) for Efficiency: cash-futures basis, basis risk, percentage of trading days with negative basis, variance ratio at a lag of one day;
(3) for Volatility: standard deviation (sigma) of returns
* Size does not include OTC Spot & Derivatives data for currency market in this period as it is not available from RBI.
Data sources: daily data from the BSE, MCX, NCDEX and NSE. Periodic data from RBI.