The Securities Market Report Card presents a set of
market quality measures that capture the health of the securities
markets in India. At present, the markets covered are:
(1) Equity: cash, single stock futures, NIFTY futures;
(2) Currency: spot, OTC derivatives, USD-INR futures & options;
(3) Commodities: futures on select agri and non-agri
commodities. The measures of market quality 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;
(3) for Volatility: standard deviation (sigma) of returns.
More details can be found
* 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.