Securities Market Report Card


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


Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19
Average Daily Traded Volume (Rs. Bn) 8,270.20 7,878.20 7,300.20 7,320.40 7,004.10 6,656.50 7,327.80 9,067.60 8,502.00 7,184.10 7,406.20 3,884.10* 4,823.10*
Cash-Futures Basis -0.07 -0.07 0.00 -0.06 -0.10 -0.14 -0.05 0.05 -0.08 -0.17 -0.12 -0.01 -0.02
Basis Risk 0.30 0.30 0.31 0.28 0.34 0.35 0.31 0.29 0.36 0.48 0.51 0.47 0.36
Neg. Basis Prop. (%) 49.34 39.94 40.59 45.93 51.27 45.73 44.88 35.90 49.21 54.04 36.52 45.14 39.96
Variance Ratio 0.93 1.00 0.90 0.96 0.87 0.95 0.93 0.98 0.89 0.78 1.02 1.00 0.98
Sigma Returns (%) 20.00 18.00 15.15 16.42 19.64 16.13 15.69 19.41 25.42 22.61 19.62 24.28 29.13
* 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.